Application of the continuous VaR criterion in financial markets (Q5403636)
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scientific article; zbMATH DE number 6275011
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| English | Application of the continuous VaR criterion in financial markets |
scientific article; zbMATH DE number 6275011 |
Statements
27 March 2014
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financial markets
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value at risk (VaR)
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continual criterion VaR (CC-VaR)
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Pareto distribution
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gamma distribution
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normal distribution
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maximum principle
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function of risk priorities
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discrete financial markets
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options market
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butterfly options
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pricing density
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multidimensional options
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basic butterflies
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alpha options
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0.7895529270172119
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0.7276903986930847
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0.7183106541633606
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0.7179974913597107
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