期权的最优风险管理方法和应用

The Optimal Option Risk Management Methods and Application

CVaR是在VaR的基础上发展起来的一种期权风险管理测量方法.本文就期权定价模型,在VaR约束下的期权风险管理基础上提出用CVaR管理期权风险,CVaR是较VaR为更优的一种方法.

CVaR is an option risk management measurement which is developed from VaR. The paper points out option pricing model and uses CVaR option risk management on the basis of the VaR. The result shows that CVaR is better than VaR.