![Options / Investment / Volatility / Convexity / Black–Scholes / Stochastic volatility / Delta neutral / Derivative / Moneyness / Mathematical finance / Financial economics / Finance Options / Investment / Volatility / Convexity / Black–Scholes / Stochastic volatility / Delta neutral / Derivative / Moneyness / Mathematical finance / Financial economics / Finance](https://www.pdfsearch.io/img/fb4c04c2115dcaab484c95c97588bb9a.jpg) Date: 2003-05-07 11:45:18Options Investment Volatility Convexity Black–Scholes Stochastic volatility Delta neutral Derivative Moneyness Mathematical finance Financial economics 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 enough
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