3 VaR Calculations for Derivatives This section is a brief review of delta and gamma-based VaR calculation methods for options. As we shall see, as a last resort, one can estimate VaR accurately, given enough - Derivative - Document - PDFSEARCH.IO

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	3 VaR Calculations for Derivatives This section is a brief review of delta and gamma-based VaR calculation methods for options. As we shall see, as a last resort, one can estimate VaR accurately, given enough Add to Reading List Document Date: 2003-05-07 11:45:18 Open Document File Size: 391,34 KB Share Result on Facebook Company Cox / Vf / / Currency USD / / IndustryTerm nitedi erence solution / / / Technology simulation / / SocialTag Options Investment Volatility Convexity Black–Scholes Stochastic volatility Delta neutral Derivative Moneyness Mathematical finance

3 VaR Calculations for Derivatives This section is a brief review of delta and gamma-based VaR calculation methods for options. As we shall see, as a last resort, one can estimate VaR accurately, given enoughAdd to Reading List