Market Risk and Hedging Strategies for Taiwan Call Warrant Writers－The Application of Value-at-Risk Model
碩士 === 銘傳大學 === 金融研究所 === 89 === This study is focus on Value-at-Risk (VaR) model and the hedging strategies of Taiwan warrant writers. We consider the Vega risk of a warrant writing position in order to find an appropriate VaR model for Taiwan warrant writers. Besides, we compare the hedging perfor...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2001
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| Online Access: | http://ndltd.ncl.edu.tw/handle/90732810698319933498 |