The effect of VaR based risk management on asset prices and the volatility smile
Arjan Berkelaar; Phornchanok Cumperayot; Roy Kouwenberg
| Year of publication: |
2002
|
|---|---|
| Authors: | Berkelaar, Arjan B. ; Cumperayot, Phornchanok J. ; Kouwenberg, Roy |
| Published in: |
European financial management : the journal of the European Financial Management Association. - Oxford : Wiley-Blackwell, ISSN 1354-7798, ZDB-ID 1235378-4. - Vol. 8.2002, 2, p. 139-164
|
| Subject: | CAPM | Optionspreistheorie | Option pricing theory | Volatilität | Volatility | Theorie | Theory | Risikomaß | Risk measure |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Notes: | In: European financial management |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10001688472