DER 04.4 Option valuation: Measuring risk dynamically

The importance of option valuation is not driven solely by the desire to identify mispriced options. Its greatest value lies in providing managers with the ability to measure risk exposures.

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• Required reading

  • Whaley, 2006, Ch. 7, Valuing standard options analytically (pp. 234-248)

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• Lecture notes

  • Slides

  • Supporting files​

    • Risk measurement.xlsx

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