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基于Delta-Gamma-Theta-Fourier-Inversion模型的外汇期权风险度量 被引量：1

Risk Measurment of FX Options Based on Delta-Gamma-Theta-Fourier-Inversion Model
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摘要 本文引入金融参数Delta、Gamma、Theta,将外汇期权近似表达式拓展成Delta-Gamma-Theta(DGT)模型,运用Fourier-Inversion方法计算外汇期权组合的风险度,估算出VaR值并与基于Delta正态分布模型、Cornish-Fisher模型进行了比较,结果表明,该模型是一种较好的度量外汇期权风险的方法和工具。 Measuring the risk based on 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 approximate expression of the change in the value of FX options into Delta-Gamma-Theta model. Then we use Fourier-Inversion approach to compute VaR value of portfolio, compared with Cornish-Fisher Expansions normal model and Delta-Normal model. The result indicates that this method as a kind of tool to measure risk of FX options is better than others.
作者 陈荣达 王韬 陈荣峰
机构地区 华中科技大学管理学院
出处 《系统工程理论方法应用》 北大核心 2005年第3期217-221,共5页 Systems Engineering Theory·Methodology·Applications
关键词 外汇期权 风险价值 Delta-Gamma-Theta模型 Cornish-Fisher方法 Fourier-Inversion方法 FX options value-at-risk(VaR) Delta-Gamma-Theta model Cornish-Fisher method Fourier-Inversion method
分类号 R830 [医药卫生—航空、航天与航海医学]
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参考文献6

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同被引文献9

  • 1陈荣达.基于Delta-Gamma-Theta模型的外汇期权风险度量[J].系统工程理论与实践,2005,25(7):55-60. 被引量：15
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  • 3Garman M B, Kohlhagen S W. Foreign currency option Values [J]. Journal of International Money and Finance, 1983, 12(2):231-237.
  • 4Castellacci G, Siclari M J. The practice of Delta- Gamma VaR: Implementing the quadratic portfolio model [J]. European Journal of Operational Research, 2003,150 : 529-545.
  • 5Hardle W, Kleinow T, Stahl G. Applied quantitative finance [M]. New York: Springer -Verlag Berlin, 2002.
  • 6Picoult E. Calculating Value-at-Risk with Monte Carlo Simulation [C]//Monte Carlo: Methodologies and Applications for Pricing and Risk Management. London: Risk Publications, 1999: 209-229.
  • 7Glasserman P. Monte Carlo methods in financial engineering [M]. New York: Springer-Verlag Berlin, 2004.
  • 8Cardenas J, Fruchard E, Picron J-F, et al. Monte Carlo within a day [J]. Risk, 1999, 12(2): 55-59.
  • 9EI-Jahel L, Perraudin W, Sellin P. Value at risk for derivatives [J]. Journal of Derivatives, 1999, 6: 7- 26.

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系统工程理论方法应用
2005年 第3期

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