摘要
Options are a kind of financial derivative tools having the characteristic of nonlinear curvature. Compared with other derivatives such as futures, the market risk of options is much more difficult to measure. Options are based on certain underlying securities, when the security is the one having dividend-paying, the price of the security would immediately drop according to the arbitrage theorem, which results in the fact that we couldn＇t assume the price of the security follow the geometric Brownian motion when we compute the value or VaR for options. Therefore, based on the assumption that we reinvest all dividends in the purchase of additional shares, this paper derives the values of European options on dividend-paying securities at some instant time, and the utmost losses of options during the period of holding options, i.e. the computational formulations of VαR, consequently, we can implement the real-time monitoring of market risk of European options on dividend-paying securities.
