VaR and CVaR Implied in Option Prices
VaR (Value at Risk) and CVaR (Conditional Value at Risk) are implied by option prices. Their relationships to option prices are derived initially under the pricing measure. It does not require assumptions about the distribution of portfolio returns. The effects of changes of measure are modest at th...
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| Format: | Article |
| Language: | English |
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MDPI AG
2016-02-01
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| Series: | Journal of Risk and Financial Management |
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| Online Access: | http://www.mdpi.com/1911-8074/9/1/2 |