A new analytical approach to value at risk

被引:0
|
作者
Fong, HG [1 ]
Lin, KC [1 ]
机构
[1] Gifford Fong Associates, Lafayette, CA 94549 USA
关键词
D O I
暂无
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
These authors describe an approach to calculating value at risk that directly investigates the relationship between the VaRs of the derivative and the underlying. The method gives exact and explicit formulas for plain-vanilla options, such as calls and puts, and provides algorithms for more exotic options. At the portfolio level, the approach is said to improve the accuracy of the VaR calculation while reducing the time requirements.
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页码:88 / +
页数:11
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