Option-Implied Intrahorizon Value at Risk
Author:
Affiliation:
1. Department of Banking and Finance, University of Zurich, 8032 Zurich, Switzerland;
2. Department of Banking and Finance, University of Zurich, 8032 Zurich, Switzerland
Publisher
Institute for Operations Research and the Management Sciences (INFORMS)
Subject
Management Science and Operations Research,Strategy and Management
Reference50 articles.
1. A Unified Framework for Numerically Inverting Laplace Transforms
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5. Coherent Measures of Risk
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