The Value at Risk of Selling Option on Crude Oil West Texas Intermediate

The Value at Risk of Selling Option on Crude Oil West Texas Intermediate

The Value at Risk (VaR) of selling option on crude oil WTI has not been widely known, whereas this trade is the largest transactions in the world. This study aimed to analyze the Value at Risk (VaR) of the far out of the money (FOTM) and the in the money (ITM) strike position of selling option on cr...

Full description

Bibliographic Details
Main Authors: Abitur Asianto, Hermanto Siregar, Roy Sembel, Tubagus Nur Ahmad Maulana
Format: Article
Language:English
Published: Universitas Islam Negeri Syarif Hidayatullah Jakarta 2019-04-01
Series:Etikonomi
Subjects:
Autoregressive Conditional Heteroscedasticity-Generalized Autoregressive Conditional Heteroscedasticity, Crude oil West texas Intermediate, Selling option, The far out of the money strike, Value at Risk.
Online Access:http://journal.uinjkt.ac.id/index.php/etikonomi/article/view/7319

Internet

http://journal.uinjkt.ac.id/index.php/etikonomi/article/view/7319

Similar Items