Cassese, Gianluca (contributor); … - 2005
prices. Applications to value-at-risk and portfolio choice calculations illustrate the importance of using arbitrage … of
the pricing mechanism underlying observed MIBO option prices. Applications to value-at-risk and
portfolio choice … Pricing, No-Arbitrage Conditions, Volatility Models, Value-
at-Risk.
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Istituto di Economia Politica, Bocconi University, Via …