WTI crude oil option implied VaR and CVaR: An empirical application

WTI crude oil option implied VaR and CVaR: An empirical application

Using option market data we derive naturally forward-looking, non-parametric and model-free risk estimates, three desired characteristics hardly obtainable using historical returns. The option-implied measures are only based on the first derivative of the option price with respect to the strike pric...

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書目詳細資料
Main Authors:	BARONE-ADESI, Giovanni, FINTA, Marinela Adriana, LEGNAZZI, Chiara, SALA, Carlo
格式:	text
語言:	English
出版:	Institutional Knowledge at Singapore Management University 2019
主題:	Backtest Elicitability Option prices VaR and CVaR Agribusiness Economics Finance and Financial Management
在線閱讀:	https://ink.library.smu.edu.sg/lkcsb_research/6976 https://ink.library.smu.edu.sg/context/lkcsb_research/article/7977/viewcontent/WTI_Crude_Oil_VaR_CVar_sv.pdf
標簽:	添加標簽沒有標簽, 成為第一個標記此記錄!
機構:	Singapore Management University
語言:	English

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