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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