Browsing by Subject "Indian Equity Index"
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Multi-factor VaR models under Black-Scholes pricing for Indian equity index (S & P CNX Nifty) options
(Indian Institute of Management Ahmedabad, 2003)The aim of the paper is to evaluate different models for calculating the value at Risk for a position in an option. Various correction factors need to be applied to the basic VaR model which bases itself on the linearity ...