The Application of Delta Gamma Normal Value at Risk to Measure the Risk in the Call Option of Stock
Ayu Astuti,
Evy Sulistianingsih,
Shantika Martha
et al.
Abstract:Call options of stock have a nonlinear dependence on market risk factors, thus encouraging the development of a method capable of measuring the risk of call option of stock, namely the Delta Gamma Normal Value at Risk (DGN VaR) method. The DGN VaR method can provide a more accurate VaR estimate than Delta Normal VaR (DN VaR) because of the Delta and Gamma sensitivity measures in the formula. The DGN VaR method uses the second-order Taylor Polynomial approach to approximate the return of stock price underlying … Show more
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