摘要
两种基本的风险管理工具:期货和期权,与两种不同的风险观念:不确定性和可能的损失,相对应.与期货可以有期权合成相对应,不确定性风险可以对应于可能的损失风险.可能的损失是基本的风险形式.因此,可以用消除可能的损失风险的期权的费用(也就是可能损失的期望值)来进行风险度量.
The two risk management securities,future and option,are just match with the two different risk concepts,uncertainty and possible loss. Future can be composed with options. Matched with that,the risk of uncertainty can be composed with risks of possible loss. So that risk of possible loss is the basic form. Byeliminating the risks of possible loss, the option price can be used to measure any kind of risk.
出处
《系统工程》
CSCD
1998年第4期45-49,共5页
Systems Engineering
基金
本研究受国家自然科学基金资助(批准号:79670067)
