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:	en
Published:	Penerbit Universiti Kebangsaan Malaysia 2024
Online Access:	http://journalarticle.ukm.my/24505/1/SS%2023.pdf http://journalarticle.ukm.my/24505/ https://www.ukm.my/jsm/english_journals/vol53num9_2024/contentsVol53num9_2024.html
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