Purpose – The purpose of this paper is to provide a scenario‐based risk measure for a portfolio of European‐style derivative securities over a fixed time horizon under the regime switching Black‐Scholes economy. Design/methodology/approach – The risk measure is constructed by using the...

Purpose – The purpose of this paper is to provide a scenario-based risk measure for a portfolio of European-style derivative securities over a fixed time horizon under the regime switching Black-Scholes economy. Design/methodology/approach – The risk measure is constructed by using the...