Original paper
Option-Implied Intrahorizon Value at Risk
Abstract
In this paper, we theoretically and empirically study the intrahorizon value at risk (iVaR) in a general jump-diffusion setting. We propose a new class of models of asset returns, the displaced mixed exponential model, which can arbitrarily closely approximate finite and infinite activity Lévy processes. We then derive analytical results for the iVaR and disentangle, in a theoretically consistent way, the jump and diffusion contributions to the...
Paper Details
Title
Option-Implied Intrahorizon Value at Risk
Published Date
Jan 1, 2020
Journal
Volume
66
Issue
1
Pages
397 - 414
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Notes
History