Value-at-risk of option
碩士 === 東吳大學 === 商用數學系 === 90 === In general, the delta method which employed first order Taylor’s expansion is used to approximate the relationship between derivatives and its underlying factors when the portfolio contain non-linear contract such as options. If the performance of delta method does n...
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2002
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| Online Access: | http://ndltd.ncl.edu.tw/handle/49920182612404079200 |