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 …

forms of trust and risk, untransparent social situations and economic, political and cultural globalization. These processes …

organizational forms, flow of information, trust to other people and complicated technical systems, uncertainty, taking a risk as …