摘要
引入金融参数Delta、Gamma、Theta,将外汇期权近似表达式拓展成Delta-Gamma-Theta模型(简称DGT模型),分别运用了Cornish-Fisher方法、Fourier-Inversion方法来计算外汇期权组合的风险度,并且对各自估计出的结果进行了比较分析,结果表明Cornish-Fisher方法计算简单,且能很快地计算出结果,而Fourier-Inversion比Cornish-Fisher方法更合理地度量VaR值,是一个较好的度量外汇期权风险的方法.
Measuring the risk based a Delta Model is unlikely to be robust when applied to the portfolio containing non-linear FX_options. In this paper we introduce finance parameter: Delta, Gamma, Theta, and develop an approximate expression of the change in the value of FX options and extend it into Delta-Gamma-Theta model. Then we use Cornish-Fisher and Fourier-Inversion approach to compute VaR value of portfolio, and compare each model. The gained result indicates that the Cornish-Fisher way is simple in the process of computation and gets quickly the VaR value, however, the Fourier-Inversion way is more reasonable to measure the risk of FX options than the Cornish-Fisher way, as a kind of tool to measure risk of FX options is better than others.
出处
《系统工程学报》
CSCD
北大核心
2005年第1期94-97,共4页
Journal of Systems Engineering