Artikel
VaR and CVaR implied in option prices
VaR (Value at Risk) and CVaR (Conditional Value at Risk) are implied by option prices. Their relationships to option prices are derived initially under the pricing measure. It does not require assumptions about the distribution of portfolio returns. The effects of changes of measure are modest at the short horizons typically used in applications. The computation of CVaR from option price is very convenient, because this measure is not elicitable, making direct comparisons of statistical inferences from market data problematic.
- Sprache
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Englisch
- Erschienen in
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Journal: Journal of Risk and Financial Management ; ISSN: 1911-8074 ; Volume: 9 ; Year: 2016 ; Issue: 1 ; Pages: 1-6 ; Basel: MDPI
- Klassifikation
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Wirtschaft
- Thema
-
VaR
expected shortfall
put option
- Ereignis
-
Geistige Schöpfung
- (wer)
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Adesi, Giovanni Barone
- Ereignis
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Veröffentlichung
- (wer)
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MDPI
- (wo)
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Basel
- (wann)
-
2016
- DOI
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doi:10.3390/jrfm9010002
- Handle
- Letzte Aktualisierung
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10.03.2025, 11:42 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Artikel
Beteiligte
- Adesi, Giovanni Barone
- MDPI
Entstanden
- 2016
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