Full-Text Search:
Home|About CNKI|User Service|中文
Add to Favorite Get Latest Update

Risk Measure of FX Options Based on Delta-Gamma-Theta Model

CHEN Rong-da(School of Finance,Zhejiang University of Finance & Economics,Hangzhou 310012,China)  
In this paper we introduce finance parameter: Delta, Gamma, Theta. And develop approximate expression of the change in the value of FX options into Delta-Gamma-Theta model. Then we use Monte Carlo approach and Cornish-Fisher approach to compute VaR value of portfolio of FX options. Moreover, we find the gained VaR value using Cornish-Fisher approach is near to the gained VaR value using Monte Carlo approach, and the Delta-Gamma-Theta Model using the two approaches is evidently better than the Delta-Normal model. However, the Cornish-Fisher approach is simple and quick in the process of computation, and the Monte Carlo approach is burdensome in the process of computation and occupies long time.
Download(CAJ format) Download(PDF format)
CAJViewer7.0 supports all the CNKI file formats; AdobeReader only supports the PDF format.
©CNKI All Rights Reserved