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

Jonathan J. Wylie, Qiang Zhang, Tak Kuen Siu

Department of Actuarial Studies and Business Analytics

Research output: Contribution to journal › Article › peer-review

6 Citations (Scopus)

Original language	English
Pages (from-to)	575-583
Number of pages	9
Journal	Quantitative Finance
Volume	10
Issue number	6
DOIs	https://doi.org/10.1080/14697680902956695
Publication status	Published - Jun 2010

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10.1080/14697680902956695

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title = "Can expected shortfall and Value-at-Risk be used to statically hedge options?",

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