Model‐Independent Measures of Volatility Exposure

Abstract

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.

Citation

KURUC, A. (2000), "Model‐Independent Measures of Volatility Exposure", Journal of Risk Finance, Vol. 2 No. 1, pp. 19-26. https://doi.org/10.1108/eb022942