VaR and CVaR implied in option prices
Year of publication: |
March 2016
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Authors: | Barone-Adesi, Giovanni |
Published in: |
Journal of risk and financial management : JRFM. - Basel : MDPI, ISSN 1911-8074, ZDB-ID 2739117-6. - Vol. 9.2016, 1, p. 1-6
|
Subject: | VaR | expected shortfall | put option | Risikomaß | Risk measure | Optionspreistheorie | Option pricing theory | VAR-Modell | VAR model | Optionsgeschäft | Option trading | Derivat | Derivative |
Type of publication: | Article |
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Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
Language: | English |
Other identifiers: | 10.3390/jrfm9010002 [DOI] hdl:10419/178569 [Handle] |
Source: | ECONIS - Online Catalogue of the ZBW |
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