The relationship between conditional value at risk and option prices with a closed-form solution
Sovan Mitra
| Year of publication: |
2015
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|---|---|
| Authors: | Mitra, Sovan |
| Published in: |
The European journal of finance. - Abingdon, Oxon : Routledge, Taylor & Francis Group, ISSN 1351-847X, ZDB-ID 1282412-4. - Vol. 21.2015, 4/6, p. 400-425
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| Subject: | options | CVaR | VaR | risk management | risk measurement | implied volatility | volatility smile | arbitrage | put-call parity | Volatilität | Volatility | Risikomaß | Risk measure | Optionspreistheorie | Option pricing theory | Optionsgeschäft | Option trading | Risikomanagement | Risk management | Risiko | Risk | Index-Futures | Index futures | Black-Scholes-Modell | Black-Scholes model | Schätzung | Estimation | Derivat | Derivative |
| 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/10010528975