Can expected shortfall and Value-at-Risk be used to statically hedge options?

Research output: Journal Publications and Reviews › RGC 21 - Publication in refereed journal › peer-review

Overview

6 Scopus Citations

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Detail(s)

Original language	English
Pages (from-to)	575-583
Journal / Publication	Quantitative Finance
Volume	10
Issue number	6
Publication status	Published - Jun 2010

Link(s)

DOI	DOI https://doi.org/10.1080/14697680902956695 Final Published version
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Link to Scopus	https://www.scopus.com/record/display.uri?eid=2-s2.0-77953507922&origin=recordpage
Permanent Link	https://scholars.cityu.edu.hk/en/publications/publication(c502e9ba-a9f1-4490-a798-184acb5549c9).html

Citation Format(s)

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Can expected shortfall and Value-at-Risk be used to statically hedge options? / Wylie, Jonathan J.; Zhang, Qiang; Kuen Siu, Tak.
In: Quantitative Finance, Vol. 10, No. 6, 06.2010, p. 575-583.

Research output: Journal Publications and Reviews › RGC 21 - Publication in refereed journal › peer-review

Wylie, JJ , Zhang, Q & Kuen Siu, T 2010, 'Can expected shortfall and Value-at-Risk be used to statically hedge options?', Quantitative Finance, vol. 10, no. 6, pp. 575-583. https://doi.org/10.1080/14697680902956695

Wylie, J. J., Zhang, Q., & Kuen Siu, T. (2010). Can expected shortfall and Value-at-Risk be used to statically hedge options? Quantitative Finance, 10(6), 575-583. https://doi.org/10.1080/14697680902956695

Wylie JJ , Zhang Q, Kuen Siu T. Can expected shortfall and Value-at-Risk be used to statically hedge options? Quantitative Finance. 2010 Jun;10(6):575-583. doi: 10.1080/14697680902956695

Wylie, Jonathan J. ; Zhang, Qiang ; Kuen Siu, Tak. / Can expected shortfall and Value-at-Risk be used to statically hedge options?. In: Quantitative Finance. 2010 ; Vol. 10, No. 6. pp. 575-583.