期权的风险度量方法初探

Fundamental study on option value-at-risk

期权的风险反映在标的物的价格和运动规律上,而且标的物的价格反映市场对未来的预期.根据股票价格变化的对数正态分布模型,给出标的物为股票的欧式看涨期权和欧式看跌期权的VaR计算方法.

The option risk is reported to its mark price and change pattern,and mark p rice represents market's anticipation to future.This paper gives VaR formula of Europe style call option and put option whose mark is stock according to logarithmic normal dis tributions stock's price change .