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Fallacy of Risk-Neutral Approach to Options

Fallacy of Risk-Neutral Approach to Options

Aired On

Mar / 10 / 2021
12:00 pm - EDT
Vivek Kapoor , Margaret Sundberg
Volaris Capital Management

Volaris Capital Management

Volaris Capital Management

Source of Irreducible Risk While Hedging an Option.

Practical Implementation of Risk-Aware Approach to Options.

Ex-Ante Inference of Option Risk Premia.

Multi-State Asset & Optimal Static Hedge.

Fitting Risk-Neutral Probabilities to Option Prices.

Breakdown of Risk-Neutral Approach in the Real-World.

Disclosure: Options Trading

Options involve risk and are not suitable for all investors. Multiple leg strategies, including spreads, will incur multiple commission charges. For more information read the "Characteristics and Risks of Standardized Options" also known as the options disclosure document (ODD) or visit ibkr.com/occ

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