A VaR algorithm for warrants portfolio

DOI10.1007/978-3-642-14355-7_11MaRDI QIDQ3578361zbMATH OpenOpenAlexFDO

Authors Jun Dai, Liyun Ni, Wei-Zhong Chen, Xiangrong Wang

Publication date 20 July 2010

Published in Algorithmic Aspects in Information and Management (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-642-14355-7_11

zbMATH Keywords

Gamma riskGamma Vega-Cornish FishGamma-Cornish FishVega riskwarrant VaR

Mathematics Subject Classification ID

Portfolio theory (91G10)

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