Hedging and Evaluating Tail Risks via Two Novel Options Based on Type II Extreme Value Distribution.

Hang Lin Lixin Liu Zhengjun Zhang

Published in: Symmetry (2021)

Keyphrases

extreme values
type ii
option pricing
type i error
risk management
payoff functions
power law
data sets
decision making
neyman pearson
active learning
uniformly distributed
decision analysis
heavy tailed
stock price
gaussian distribution
statistically significant