An investigation of model risk in a market with jumps and stochastic volatility
Guillaume Coqueret, Bertrand Tavin
| Year of publication: |
16 September 2016
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| Authors: | Coqueret, Guillaume |
| Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 253.2016, 3 (16.9.), p. 648-658
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| Subject: | Risk management | Model risk | Robustness and sensitivity analysis | Variance swap | Forward-start option | Risikomanagement | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Risiko | Risk | Stochastischer Prozess | Stochastic process | Sensitivitätsanalyse | Sensitivity analysis | Risikomaß | Risk measure | Modellierung | Scientific modelling | Optionsgeschäft | Option trading | Portfolio-Management | Portfolio selection | Swap |
| Type of publication: | Article |
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| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ejor.2016.03.018 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011493990