Credible delta gamma (Theta) normal value at risk for assessing European call option risk

• Main Authors: Sulistianingsih, Evy, Rosadi, Dedi, Maharani Abu Bakar,
• Format: Article
• Language: English
• Published: Penerbit Universiti Kebangsaan Malaysia 2024
• Online Access: http://journalarticle.ukm.my/24505/1/SS%2023.pdf; http://journalarticle.ukm.my/24505/; https://www.ukm.my/jsm/english_journals/vol53num9_2024/contentsVol53num9_2024.html

The current research introduces a novel risk metric called credible delta-gamma (theta)-normal Value-at-Risk (CredDGTN VaR) for the purpose of the option risk assessment. CredDGTN VaR represents an extension of the credible Value-at-Risk (CredVaR) framework, whereby risk assessment is conducted thro...