Barone-Adesi, Giovanni; Legnazzi, Chiara; Sala, Carlo - 2018
The forward-looking nature of option market data allows one to derive economically-based and model-free risk measures …. This article proposes an extensive analysis of the performances of option-implied VaR and CVaR, and compare them with … classical risk measures for the S&P500 Index. Delivering good results both at short and long time horizons, the proposed option …