Value-at-risk measuring for subdiffusion option pricing models
Loading...
Date
2024
Authors
Shchestyuk, Nataliya
Tyshchenko, Serhii
Journal Title
Journal ISSN
Volume Title
Publisher
Abstract
The value-at-risk is a useful tool for investors and can be used for understanding the past and making medium-term and strategic decisions for the future. The paper focuses on the risk measuring in the option price subdiffusive model under the unusual behavior of the market, when the price may not be changed for some time, which is quite a common situation in modern illiquid financial markets or during global crise.
Description
Keywords
value-at-risk, option pricing, Dupire’s equation, conference abstracts
Citation
Shchestyuk N. Value-at-risk measuring for subdiffusion option pricing models / N. Shchestyuk, S. Tyshchenko // XХXIX International Conference "Problems of decision making under uncertainties" (PDMU-2024), Brno, Czech Republic, September 9-10, 2024 : abstracts / Taras Shevchenko National University of Kyiv (Ukraine), University of Defence, Brno, Czech Republic [et al.]. - Кyiv, 2024. - P. 124.