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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Date: 2003-05-07 11:45:18 Options 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 Document is deleted from original location. Use the Download Button below to download from the Web Archive. Download Document from Web Archive File Size: 391,34 KB

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