Implied value-at-risk and model-free simulation
Author:
Publisher
Springer Science and Business Media LLC
Subject
Management Science and Operations Research,General Decision Sciences
Link
https://link.springer.com/content/pdf/10.1007/s10479-022-05048-w.pdf
Reference38 articles.
1. Ahlawat, S. (2012). Calculating value-at-risk using option implied probability distribution of asset price. Wilmott, 2012(59), 56–61. https://doi.org/10.1002/wilm.10113
2. Aït-Sahalia, Y., & Lo, A. W. (2000). Nonparametric risk management and implied risk aversion. Journal of Econometrics, 94(1–2), 9–51. https://doi.org/10.1016/S0304-4076(99)00016-0
3. Albrecher, H., Mayer, P., Schoutens, W., & Tistaert, J. (2007). The little Heston trap. Wilmott, 2007(1), 83–92.
4. Andersen, L. (2008). Simple and efficient simulation of the Heston stochastic volatility model. Journal of Computational Finance, 11(3), 1–43. https://doi.org/10.21314/JCF.2008.189
5. Banz, R. W., & Miller, M. H. (1978). Prices for state-contingent claims: Some estimates and applications. Journal of Business, 51, 653–672.
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