| Autor: |
Nam, Doowoo, Gup, Benton E. |
| Předmět: |
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| Zdroj: |
Journal of Risk Finance (Euromoney Institutional Investor PLC); Fall2003, Vol. 5 Issue 1, p40-50, 11p |
| Abstrakt: |
The nonlinear relationship between the values of an option and the prices of an underlying risk factor imposes limitations on value-at-risk (VaR) models that are based on the assumption of normally-distributed random variables. The authors of this article propose an alternative approximation-based approach to estimating VaR for options, and compare it with competing methods under various degrees of moneyness for options. The results show that the proposed method significantly improves the accuracy of VaR estimation relative to existing approximation methods, while avoiding the computational complexity of full valuation methods based on simulation. [ABSTRACT FROM AUTHOR] |
| Databáze: |
Complementary Index |
| Externí odkaz: |
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