[HTML][HTML] Tail Risk Signal Detection through a Novel EGB2 Option Pricing Model
H Lin, L Liu, Z Zhang - Mathematics, 2023 - mdpi.com
Connecting derivative pricing with tail risk management has become urgent for financial
practice and academia. This paper proposes a novel option pricing model based on the …
practice and academia. This paper proposes a novel option pricing model based on the …
Equity Tail Protection Strategies Before, During, and After COVID
R Israelov, D Nze Ndong - During, and After COVID (May 10, 2023), 2023 - papers.ssrn.com
Tail risk is usually an important consideration for investors, and a desire to limit catastrophic
loss has led to significant interest in protection strategies. Across four distinct market periods …
loss has led to significant interest in protection strategies. Across four distinct market periods …