Optimal Risk Management Using Options
收藏NBER1997-09-01 更新2025-01-04 收录
下载链接：
https://www.nber.org/papers/w6158
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资源简介：
This paper addresses the question of how an institution might optimally manage the market risk of a given exposure. We provide an analytical approach to optimal risk management under the assumption that the institution wishes to minimize its Value-at-Risk (VaR) using options follows a geometric
提供机构：
美国国家经济研究局
创建时间：
1997-09-01
