Volatility Risk of Option Portfolios
In this chapter we analyse the principal factors in the dynamic structure of implied volatility at the money (ATM). The data used are daily Volatility- DAX (VDAX) values. By using a principal component analysis we consider a method of modelling the risk of option portfolios on the basis of “Maximum Loss”.
KeywordsInterest Rate Option Price Implied Volatility Strike Price Weekly Data
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