Abstract
The option risk management model is a method to measure the finance risk and management market risk. Based on the contrast research on this option hedge ratio under the traditional minimum variance risk management model. This article has analyzed CVaR the minimum option hedging optimization model. And it explains its difference with minimum variance model. It also provides a reference for the hedgers on the option hedge’s study.
Chinese Library classification number: F830.9 Document code: A
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© 2011 Springer-Verlag Berlin Heidelberg
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Wenhui, L. (2011). Comparative Study on Minimizing the Risk of Options for Hedge Ratio Model of Futures. In: Wu, D. (eds) Quantitative Financial Risk Management. Computational Risk Management, vol 1. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-19339-2_3
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DOI: https://doi.org/10.1007/978-3-642-19339-2_3
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Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-642-19338-5
Online ISBN: 978-3-642-19339-2
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