Hedging and Evaluating Tail Risks via Two Novel Options Based on Type II Extreme Value Distribution
Tail risk is an important financial issue today, but directly hedging tail risks with an ad hoc option is still an unresolved problem since it is not easy to specify a suitable and asymmetric pricing kernel. By defining two ad hoc underlying “assets”, this paper designs two novel tail risk options (...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2021-09-01
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| Series: | Symmetry |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2073-8994/13/9/1630 |