Option-Implied Intrahorizon Value at Risk.

Markus Leippold Nikola Vasiljevic

Published in: Manag. Sci. (2020)

Keyphrases

option pricing
black scholes
risk management
risk assessment
risk factors
risk analysis
minimum risk
decision making
high risk
special case
databases
expected utility
empirical risk
risk measures
risk averse
credit risk
reinforcement learning
feature selection
artificial intelligence