This paper compares two approaches to options: (1) Risk-Aware Approach, and (2) Risk-Neutral Approach. The risk … errors are singularly dependent on the excess kurtosis of the returns. Becoming risk-aware requires explicitly assessing … hedge slippage of a hedging strategy to attempt option replication. In contrast, the risk-neutral tautology sets the option …

out some key issues on how the credit risk associated to these products can be reduced and, finally, in the last section …

volatility of Borsa Istanbul 100 Index (BIST-100). Sample data cover the period from January 2008 to December 2017. The main … nonlinear volatility models (symmetric and asymmetric Generalized AutoRegressive Conditional Heteroskedasticity [GARCH …]-type models) were used to model and estimate BIST-100 volatility in response to political news. The findings of the paper …

the existence of such sets when volatility uncertainty is modeled by a stochastic differential equation, driven by Peng …'s G-Brownian motions. -- mutually singular priors ; uncertain volatility ; sublinear expectation ; viability of sublinear …

In 2008, the S&P500 aggregated a loss of 30.16% during three selected days. Unfortunately, benchmark risk measures didn …'t forecast these hazards. Consequently, we witness a growing interest in coherent risk measures, sensitive to high moments and … heavy tail risk. Such measures were proposed by Aumann-Serrano (2007) and Foster-Hart (2008). As a generalization of these …

Implied volatility and other forward-looking measures of option-implied uncertainty help investors carefully evaluate …. In the first part, we create new volatility indices, which reflect market pricing of subsequently realised volatility of … underlying bond futures. We express volatility indices in both price and basis points, the latter being more intuitive to …

by applying ‘extreme value theory', and then use these measures to investigate the information content of option …-implied tail risk on the future returns of the underlying assets. Our empirical analysis shows that both tail measures implied by S … tail-risk premium …

Under Black-Scholes (BS) assumptions, empirical volatility and risk neutral volatility are given by a single parameter …, which captures all aspects of risk. Inverting the model to extract implied volatility from an option's market price gives … investors' risk attitudes, including possibly distinct preferences over different volatility-related aspects of the returns …

demonstrate that geopolitical risk plays an important role in determining both oil price volatility and (to a lesser extent) stock … market volatility. An increase in geopolitical risk is associated with positive (negative) oil (stock) returns and is …Geopolitical events are widely reported in the press and may influence the risk premium demanded by investors in …