VaR and CVaR Implied in Option Prices

Giovanni Barone-Adesi
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Giovanni Barone-Adesi: Università della Svizzera italiana and Swiss Finance Institute

No 15-45, Swiss Finance Institute Research Paper Series from Swiss Finance Institute

Abstract: VaR (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 measure change are later discussed. Some extensions and applications are also illustrated.

Pages: 10 pages
Date: 2015-10
New Economics Papers: this item is included in nep-rmg
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Persistent link: https://EconPapers.repec.org/RePEc:chf:rpseri:rp1545

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