VaR and CVaR Implied in Option Prices
AbstractVaR (Value at Risk) and CVaR (Conditional Value at Risk) are implied by option prices. Their relationships to option prices are derived initially under the pricing measure. It does not require assumptions about the distribution of portfolio returns. The effects of changes of measure are modest at the short horizons typically used in applications. The computation of CVaR from option price is very convenient, because this measure is not elicitable, making direct comparisons of statistical inferences from market data problematic. View Full-Text
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Barone Adesi, G. VaR and CVaR Implied in Option Prices. J. Risk Financial Manag. 2016, 9, 2.
Barone Adesi G. VaR and CVaR Implied in Option Prices. Journal of Risk and Financial Management. 2016; 9(1):2.Chicago/Turabian Style
Barone Adesi, Giovanni. 2016. "VaR and CVaR Implied in Option Prices." J. Risk Financial Manag. 9, no. 1: 2.
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