Option portfolio value at risk using Monte Carlo simulation under a risk neutral stochastic implied volatility model
Year of publication: |
2012
|
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Authors: | Peng, He |
Published in: |
Global journal of business research : GJBR. - Hilo, Hawaii : IBFR, ISSN 1931-0277, ZDB-ID 2536575-7. - Vol. 6.2012, 5, p. 65-72
|
Subject: | Risikomaß | Risk measure | Monte-Carlo-Simulation | Monte Carlo simulation | Volatilität | Volatility | Stochastischer Prozess | Stochastic process |
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