A novel nonlinear value-at-risk method for modeling risk of option portfolio with multivariate mixture of normal distributions
Rongda Chen; Lean Yu
| Year of publication: |
2013
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|---|---|
| Authors: | Chen, Rongda ; Yu, Lean |
| Published in: |
Economic modelling. - Amsterdam [u.a.] : Elsevier, ISSN 0264-9993, ZDB-ID 86824-3. - Vol. 35.2013, p. 796-804
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| Subject: | Finance | Option portfolio | Nonlinear VaR | Multivariate mixture of normal distributions | Fourier-Inversion method | Portfolio-Management | Portfolio selection | Risikomaß | Risk measure | Statistische Verteilung | Statistical distribution | Multivariate Analyse | Multivariate analysis | Optionsgeschäft | Option trading | Monte-Carlo-Simulation | Monte Carlo simulation | Optionspreistheorie | Option pricing theory | ARCH-Modell | ARCH model | Risikomanagement | Risk management |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010336666