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VaR/CVaR estimation under stochastic volatility models

Han, Chuan-Hsiang; Liu, Wei-han; Chen, Tzu-ying - In: International journal of theoretical and applied finance 17 (2014) 2, pp. 1-35

Persistent link: https://www.econbiz.de/10010363922

VaR/CVaR Estimation Under Stochastic Volatility Models

Han, Chuan-Hsiang - 2013

This paper proposes an improved procedure for stochastic volatility model estimation with an application to Value-at-Risk (VaR) and Conditional Value-at-Risk (CVaR) estimation. This improved procedure is composed of the following instrumental components: Fourier transform method for volatility...

Persistent link: https://www.econbiz.de/10013088465

Can the improved CMBO strategies beat the CMBO index?

Liu, Wei-Han; Chang, Jow-Ran - In: The journal of derivatives : JOD 28 (2021) 3, pp. 163-183

Persistent link: https://www.econbiz.de/10012486036

Option pricing based on the residual neural network

Gan, Lirong; Liu, Wei-han - In: Computational economics 63 (2024) 4, pp. 1327-1347

Persistent link: https://www.econbiz.de/10014549024