The recent common feeling about a skyrocketing economic risk has drawn increasing attention to its role and …

In this article we analyze the risk associated with hedging written call options. We introduce a way to isolate the … gamma risk from other risk types and present its loss distribution, which has heavy tails. Moving to an insurance point of … considerably biased values for the replicating portfolio. Operational risk is defined as caused by imperfect delta hedging and is …