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A VaR Algorithm for Warrants Portfolio - MaRDI portal

A VaR Algorithm for Warrants Portfolio (Q3578361)

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English
A VaR Algorithm for Warrants Portfolio
scientific article

    Statements

    title
    A VaR Algorithm for Warrants Portfolio (English)
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    author
    Jun Dai
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    Liyun Ni
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    Wei-Zhong Chen
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    Xiang-Rong Wang
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    publication date
    20 July 2010
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    zbMATH Keywords
    warrant VaR
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    Gamma risk
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    Vega risk
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    Gamma Vega-Cornish Fish
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    Gamma-Cornish Fish
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    Identifiers

    zbMATH DE Number
    5758187
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    OpenAlex ID
    W1504719659
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