PL EN


2013 | 124 | 183-192
Article title

Wartość zagrożona opcji europejskich szacowana przedziałowo. Symulacje

Authors
Content
Title variants
EN
VaR Estimated Interval European Options. Simulations
Languages of publication
PL
Abstracts
EN
This paper presents a procedure for determining the value at risk ranges covering European options with a given level of confidence. Interval forecast VaR takes into account the uncertainty associated with the estimation error of the model parameters used. Option pricing model adapted Black-Sholes, and studies based on simulations.
Year
Volume
124
Pages
183-192
Physical description
Contributors
author
References
  • Alexander C.: Market Risk Analysis: Value at Risk Models, Vol. IV, John Wiley & Sons, England 2008.
  • Contreras P., Satchell S.: A Bayesian Confidence Interval for Value-at-Risk 2003, http://www.dspace.cam.ac.uk/handle/1810/380.
  • Dowd K.: Assessing VaR Accuracy, 2000 http://www.smartquant.com/references/ VaR/var14.pdf.
  • Holton G.A.: Value at Risk. Theory and Practice, Academic Press, USA 2003.
  • Hull J., Kontrakty terminowe i opcje. Wprowadzenie, WIG-PRESS, Warszawa 1999.
  • Jorion P.: Value at risk: the new benchmark for managing financial risk, McGraw-Hill 2001.
  • Sobczyk M.: Statystyka. Aspekty praktyczne i teoretyczne, UMCS, Lublin 2006.
Document Type
Publication order reference
Identifiers
ISSN
2083-8611
YADDA identifier
bwmeta1.element.desklight-e91c6e52-b94b-4c73-9112-c0b2dc16d465
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