Operational risk of option hedging
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DOI: 10.1016/j.econmod.2013.04.031
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References listed on IDEAS
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Cited by:
- Raimonda Martinkutė-Kaulienė, 2014. "Risk Factors in Derivatives Markets," Entrepreneurial Business and Economics Review, Centre for Strategic and International Entrepreneurship at the Cracow University of Economics., vol. 2(4), pages 71-83.
- Sovan Mitra & Andreas Karathanasopoulos, 2019. "Firm Value and the Impact of Operational Management," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 26(1), pages 61-85, March.
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Keywords
Operational risk; Hedging; Options; Option pricing; Risk management; Risk measures; Value at Risk; Half normal distribution; Quantile; Operational Value at Risk;All these keywords.
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