Credible delta gamma (Theta) normal value at risk for assessing European call option risk

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Credible delta gamma (Theta) normal value at risk for assessing European call option risk

The current research introduces a novel risk metric called credible delta-gamma (theta)-normal Value-at-Risk (CredDGTN VaR) for the purpose of the option risk assessment. CredDGTN VaR represents an extension of the credible Value-at-Risk (CredVaR) framework, whereby risk assessment is conducted thro...

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Bibliographic Details
Main Authors:	Sulistianingsih, Evy, Rosadi, Dedi, Maharani Abu Bakar
Format:	Article
Language:	English
Published:	Penerbit Universiti Kebangsaan Malaysia 2024
Online Access:	http://journalarticle.ukm.my/24505/ http://journalarticle.ukm.my/24505/1/SS%2023.pdf

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