S&P 500 index, an option implied risk analysis
Giovanni Barone-Adesi (University of Lugano and Swiss Finance Institute), Chiara Legnazzi (University of Lugano and Swiss Finance Institute), Carlo Sala (ESADE Business School, Spain)
| Alternative title: | Standard and Poor's 500 index, an option implied risk analysis |
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| Year of publication: |
November 7, 2016
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| Authors: | Barone-Adesi, Giovanni ; Legnazzi, Chiara ; Sala, Carlo |
| Publisher: |
Geneva : Swiss Finance Institute |
| Subject: | Option Prices | VaR and CVaR | Long and Short-term Risk Measures | S&P 500 Index | Risikomaß | Risk measure | Risiko | Risk | Optionspreistheorie | Option pricing theory | Index-Futures | Index futures | Aktienindex | Stock index | Risikomanagement | Risk management | Messung | Measurement | Portfolio-Management | Portfolio selection |