2015-12-28から1日間の記事一覧

デルタとガンマによるVaR

最近オプションの元になる資産の値動きの敏感性を調べています。I reviewed my calculations and cannot determine the reason why the VaR I obtain of about 7.2 deviates substantially from the RiskLatte solution of 13.3. My assumption was that the…