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ModelIndependent Measures of Volatility Exposure

ModelIndependent Measures of Volatility Exposure The development of standardized measures of institutionwide volatility exposures has so far lagged that for measures of asset price and interestrate exposurelargely because it is difficult to reconcile the various mathematical models used to value options. Recent mathematical results, however, can be used to construct standardized measures of volatility exposure. We consider here techniques for reconciling vegas for financial options valued using stochastic models that may be mathematically inconsistent with each other. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png The Journal of Risk Finance Emerald Publishing

ModelIndependent Measures of Volatility Exposure

The Journal of Risk Finance , Volume 2 (1): 8 – Apr 1, 2000

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Publisher
Emerald Publishing
Copyright
Copyright © Emerald Group Publishing Limited
ISSN
1526-5943
DOI
10.1108/eb022942
Publisher site
See Article on Publisher Site

Abstract

The development of standardized measures of institutionwide volatility exposures has so far lagged that for measures of asset price and interestrate exposurelargely because it is difficult to reconcile the various mathematical models used to value options. Recent mathematical results, however, can be used to construct standardized measures of volatility exposure. We consider here techniques for reconciling vegas for financial options valued using stochastic models that may be mathematically inconsistent with each other.

Journal

The Journal of Risk FinanceEmerald Publishing

Published: Apr 1, 2000

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