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Negative risk function, what does that mean?

Qi Tang (University of Sussex)
19/01/10

Nowadays, most people recognize that the standard deviation risk function from B-S option value formula is not a satisfactory description of financial risks.

We look at a few very simple cases where using standard option value derivation methods, non-standard risk functions may appear, and they have interesting, and thought provoking consequences when applied to the real world problems.

Is that possible? ...


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[Last modified: Jan. 18th 2010 by Kostas Kalogeropoulos]