Risk Control and Derivative Pricing in Non-Gaussian Markets

  • Johannes Voit
Part of the Texts and Monographs in Physics book series (TMP)


In this chapter, we will be concerned with risk. Section 7.2 introduces the notions of risk and risk control. It presents the established methods for measuring and controlling risk in Gaussian markets, and then carries on to Lévy markets. Sect. 7.3 discusses new proposals to improve option pricing and hedging in non-Gaussian markets.


Option Price Implied Volatility Strike Price Geometric Brownian Motion Stochastic Volatility Model 
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Copyright information

© Springer-Verlag Berlin Heidelberg 2003

Authors and Affiliations

  • Johannes Voit
    • 1
  1. 1.Deutscher Sparkassen- und GiroverbandBonnGermany

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