Model-Independent Measures of Volatility Exposure

The development of standardized measures of institution-wide volatility exposures has so far lagged that for measures of asset price and interest-rate exposure-largely because it is difficult to reconcile the various mathematical models used to value options. Recent mathematical results, however, ca...

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Bibliographic Details
Published in:The journal of risk finance 2000, Vol.2 (1), p.19-26
Main Author: KURUC, ALVIN
Format: Article
Language:English
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Summary:The development of standardized measures of institution-wide volatility exposures has so far lagged that for measures of asset price and interest-rate exposure-largely because it is difficult to reconcile the various mathematical models used to value options. Recent mathematical results, however, can be used to construct standardized measures of volatility exposure. We consider here techniques for reconciling "vegas" for financial options valued using stochastic models that may be mathematically inconsistent with each other.
ISSN:1526-5943
2331-2947
DOI:10.1108/eb022942