The Application of Delta Gamma Normal Value at Risk to Measure the Risk in the Call Option of Stock
Call options of stock have a nonlinear dependence on market risk factors, thus encouraging the development of a method capable of measuring the risk of call option of stock, namely the Delta Gamma Normal Value at Risk (DGN VaR) method. The DGN VaR method can provide a more accurate VaR estimate than...
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| Autors principals: | , , , |
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| Format: | Artigo |
| Idioma: | Inglês |
| Publicat: |
Universitas Muhammadiyah Mataram
2024-03-01
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| Col·lecció: | JTAM (Jurnal Teori dan Aplikasi Matematika) |
| Matèries: | |
| Accés en línia: | http://journal.ummat.ac.id/index.php/jtam/article/view/19669 |
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