Value-at-Risk of straddle options
碩士 === 東吳大學 === 商用數學系 === 93 === In 1973, Black and Scholes developed the famous Black-Scholes option pricing model to price the options related derivatives. In this paper, we use the Value-at-Risk of straddle option developed by Fong and Lin (1999) to estimate straddle option VaR. In Dec. 24, 2001,...
| Main Authors: | , |
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2004
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| Online Access: | http://ndltd.ncl.edu.tw/handle/29740439689397462308 |