Credible delta gamma (Theta) normal value at risk for assessing European call option risk
The current research introduces a novel risk metric called credible delta-gamma (theta)-normal Value-at-Risk (CredDGTN VaR) for the purpose of the option risk assessment. CredDGTN VaR represents an extension of the credible Value-at-Risk (CredVaR) framework, whereby risk assessment is conducted thro...
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| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Penerbit Universiti Kebangsaan Malaysia
2024
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| Online Access: | http://journalarticle.ukm.my/24505/1/SS%2023.pdf http://journalarticle.ukm.my/24505/ https://www.ukm.my/jsm/english_journals/vol53num9_2024/contentsVol53num9_2024.html |
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| Institution: | Universiti Kebangsaan Malaysia |
| Language: | English |