A novel nonlinear value-at-risk method for modeling risk of option portfolio with multivariate mixture of normal distributions
Year of publication: |
2013
|
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Authors: | Chen, Rongda ; Yu, Lean |
Published in: |
Economic modelling. - Amsterdam [u.a.] : Elsevier, ISSN 0264-9993, ZDB-ID 86824-3. - Vol. 35.2013, p. 796-804
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Subject: | Finance | Option portfolio | Nonlinear VaR | Multivariate mixture of normal distributions | Fourier-Inversion method | Portfolio-Management | Portfolio selection | Risikomaß | Risk measure | Optionspreistheorie | Option pricing theory | Multivariate Analyse | Multivariate analysis | Statistische Verteilung | Statistical distribution | Stochastischer Prozess | Stochastic process | Derivat | Derivative | Optionsgeschäft | Option trading | ARCH-Modell | ARCH model | Nichtlineare Regression | Nonlinear regression |
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