difficulties that can ensue when failing to account for estimation risk in valuation and hedging formulae. … motion (GBM) process. That is, we show what difficulties can arise when failing to account for estimation risk. Our working … the underlying risk-neutral process. Next we extend our work to the contingent claim sensitivities associated with an …

management studieshave examined the risk reducing capabilities of alternative management strategies, butfew have looked at the … threetypes of risk management strategies. Net returns were simulated using a multivariate empirical distribution for 16 risk … management scenarios. The scenarios were rankedacross a range of risk aversion levels using stochastic efficiency with respect to …