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Statistics of Financial Markets pp 519–533Cite as

Volatility Risk of Option Portfolios

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Abstract

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”.

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Authors and Affiliations

  1. FB Mathematik, TU Kaiserslautern, Erwin-Schrödinger-Str. Gebäude 48, 67663, Kaiserslautern, Germany

    Prof. Dr. Jürgen Franke

  2. Ladislaus von Bortkiewicz Chair of Statistics C.A.S.E. Centre for Applied Statistics and Economics School of Business and Economics, Humboldt-Universität zu Berlin, Unter den Linden 6, 10099, Berlin, Germany

    Prof. Dr. Wolfgang Karl Härdle

  3. Graduate Institute of Statistics, National Central University, Jhongli, Taiwan

    Prof. Dr. Wolfgang Karl Härdle

  4. Inst. Statistique, Université Catholique de Louvain, Voie du Roman Pays 20, 1348, Leuven-la-Neuve, Belgium

    Prof. Dr. Christian Matthias Hafner

Authors
  1. Prof. Dr. Jürgen Franke
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  2. Prof. Dr. Wolfgang Karl Härdle
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  3. Prof. Dr. Christian Matthias Hafner
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Corresponding author

Correspondence to Jürgen Franke .

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© 2011 Springer-Verlag Berlin Heidelberg

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Franke, J., Härdle, W.K., Hafner, C.M. (2011). Volatility Risk of Option Portfolios. In: Statistics of Financial Markets. Universitext. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-16521-4_20

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