VaR and CVaR Implied in Option PricesReportar como inadecuado

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The Swiss Finance Institute at the Università della Svizzera italiana, 6904 Lugano, Switzerland

Academic Editors: Stefan Mittnik and Marc S. Paolella

Abstract VaR Value at Risk and CVaR Conditional Value at Risk are implied by option prices. Their relationships to option prices are derived initially under the pricing measure. It does not require assumptions about the distribution of portfolio returns. The effects of changes of measure are modest at the short horizons typically used in applications. The computation of CVaR from option price is very convenient, because this measure is not elicitable, making direct comparisons of statistical inferences from market data problematic. View Full-Text

Keywords: VaR; expected shortfall; put option VaR; expected shortfall; put option

Autor: Giovanni Barone Adesi



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