Option-Implied Intrahorizon Value at Risk

References

• Abate J, Whitt W (2006) A unified framework for numerically inverting Laplace transforms. INFORMS J. Comput. 18(4):408–421.Link, Google Scholar
• Acerbi C, Tasche D (2002) On the coherence of expected shortfall. J. Banking Finance 26(7) 1487–1503.Crossref, Google Scholar
• AitSahlia F, Runnemo A (2007) A canonical optimal stopping problem for American options under a double exponential jump-diffusion model. J. Risk 10(1):85–100.Crossref, Google Scholar
• Albrecher H, Kortschak D, Zhou X (2012) Pricing of Parisian options for a jump-diffusion model with two-sided jumps. Appl. Math. Finance 19(2):97–129.Crossref, Google Scholar
• Artzner P, Delbaen F, Eber JM, Heath D (1999) Coherent measures of risk. Math. Finance 9(3):203–228.Crossref, Google Scholar
• Asmussen S, Madan D Pistorius M (2007) Pricing equity default swaps under an approximation to the CGMY Lévy model. J. Comput. Finance 11(2):79–93.Crossref, Google Scholar
• Bakshi G, Panayotov G (2010) First-passage probability, jump models, and intra-horizon risk. J. Financial Econom. 95(1):20–40.Crossref, Google Scholar
• Barone-Adesi G, Engle RF, Mancini L (2008) A GARCH option pricing model with filtered historical simulation. Rev. Financial Stud. 21(3):1223–1258.Crossref, Google Scholar
• Barone-Adesi G, Giannopoulos K Vosper L (1999) VaR without correlations for portfolios of derivative securities. J. Futures Markets 19(5):583–602.Crossref, Google Scholar
• Bartholomew DJ (1969) Sufficient conditions for a mixture of exponentials to be a probability density function. Ann. Math. Statist. 40(6):2183–2188.Crossref, Google Scholar
• Bayraktar E, Xing H (2009) Pricing american options for jump diffusions by iterating optimal stopping problems for diffusions. Math. Methods Oper. Res. 70(3):505–525.Crossref, Google Scholar
• Bayraktar E, Xing H (2011) Pricing Asian options for jump diffusion. Math. Finance 21(1):117–143.Crossref, Google Scholar
• Bhattacharyya M, Misra N, Kodase B (2009) Maxvar for non-normal and heteroskedastic returns. Quant. Finance 9(8):925–935.Crossref, Google Scholar
• Botta RF, Harris CM (1986) Approximation with generalized hyperexponential distributions: Weak convergence results. Queueing Systems 1(2):169–190.Crossref, Google Scholar
• Boudoukh J, Richardson M, Stanton R, Whitelaw RF (2004) MaxVaR: Long-horizon value at risk in a mark-to-market environment. J. Investment Management 2(3):1–6.Google Scholar
• Boyarcheko M, Boyarchenko S (2011) Double barrier options in regime-switching hyper-exponential jump-diffusion models. Internat. J. Theoret. Appl. Finance 14(7):1005–1043.Crossref, Google Scholar
• Broadie M, Detemple JB (1996) American option valuation: New bounds, approximations, and a comparison of existing methods. Rev. Financial Stud. 9(4):1211–1250.Crossref, Google Scholar
• Cai N (2009) On first passage times of a hyper-exponential jump diffusion process. Oper. Res. Lett. 37(2):127–134.Crossref, Google Scholar
• Cai N (2011) Pricing and hedging quantile options in a flexible jump diffusion model. J. Appl. Probab. 48(3):637–656.Crossref, Google Scholar
• Cai N, Kou S (2011) Option pricing under a mixed-exponential jump diffusion model. Management Sci. 57(11):2067–2081.Link, Google Scholar
• Cai N, Kou S (2012) Pricing Asian options under a hyper-exponential jump-diffusion model. Oper. Res. 60(1):64–77.Link, Google Scholar
• Carr P (1998) Randomization and the American put. Rev. Financial Stud. 11(3):597–626.Crossref, Google Scholar
• Carr P, Wu L (2003) The finite moment log stable process and option pricing. J. Finance 58(2):753–778.Crossref, Google Scholar
• Carr P, Geman H, Madan DB, Yor M (2002) The fine structure of asset returns: An empirical investigation. J. Bus. 75(2):305–332.Crossref, Google Scholar
• Chiarella C, Kang B, Meyer GH, Ziogas A (2009) The evaluation of american option prices under stochastic volatility and jump-diffusion dynamics using the method of lines. Internat. J. Theoret. Appl. Finance 12(3):393–425.Crossref, Google Scholar
• Christoffersen P (1998) Evaluating interval forecasts. Internat. Econom. Rev. 39(4):841–862.Crossref, Google Scholar
• Crosby J, Le Saux N, Mijatović A (2010) Approximating Lévy processes with a view to option pricing. Internat. J. Theoret. Appl. Finance 13(1):63–91.Crossref, Google Scholar
• Esscher F (1932) On the probability function in the collective theory of risk. Skandinavisk Aktuarietidskrift 15:175–195.Google Scholar
• Fang F, Oosterlee CW (2008) A novel pricing method for European options based on Fourier-cosine series expansions. SIAM J. Sci. Comput. 31(2):826–848.Crossref, Google Scholar
• Gerber HU, Shiu ESW (1994) Option pricing by Esscher transforms. Trans. Soc. Actuaries 46(99):102–106.Google Scholar
• Ingersoll JE (1996) Approximating American options and other financial contracts using barrier derivatives. J. Comput. Finance 2(1):85–112.Crossref, Google Scholar
• Jeannin M, Pistorius M (2010) A transform approach to compute prices and Greeks of barrier options driven by a class of Lévy processes. Quant. Finance 10(6):629–644.Crossref, Google Scholar
• Kou SG (2002) A jump-diffusion model for option pricing. Management Sci. 48(8):1086–1101.Link, Google Scholar
• Kou SG, Wang H (2003) First passage times of a jump diffusion process. Adv. Appl. Probab. 35(2):504–531.Crossref, Google Scholar
• Kou SG, Wang H (2004) Option pricing under a double exponential jump diffusion model. Management Sci. 50(9):1178–1192.Link, Google Scholar
• Kritzman M, Rich D (2002) The mismeasurement of risk. Financial Analysts J. 58(3):91–99.Crossref, Google Scholar
• Kupiec PH (1995) Techniques for verifying the accuracy of risk measurement models. J. Derivatives 3(2):73–84.Crossref, Google Scholar
• Kuznetsov A (2013) On the convergence of the Gaver–Stehfest algorithm. SIAM J. Numer. Anal. 51(6):2984–2998.Crossref, Google Scholar
• Leippold M, Vasiljević N (2017) Pricing and disentanglement of American puts in the hyper-exponential jump-diffusion model. J. Banking Finance 77(April):78–94.Crossref, Google Scholar
• Madan DB, Seneta E (1990) The variance gamma (VG) model for share market returns. J. Bus. 63(3):511–524.Crossref, Google Scholar
• Merton RC (1976) Option pricing when underlying stock returns are discontinuous. J. Financial Econom. 3(1–2):125–144.Crossref, Google Scholar
• Monfort A, Pegoraro F (2012) Asset pricing with second-order Esscher transforms. J. Banking Finance 36(6):1678–1687.Crossref, Google Scholar
• Ramezani CA, Zeng Y (2007) Maximum likelihood estimation of the double exponential jump-diffusion process. Ann. Finance 3(4):487–507.Crossref, Google Scholar
• Rockafellar RT, Uryasev S (2002) Conditional value-at-risk for general loss distributions. J. Banking Finance 26(7):1443–1471.Crossref, Google Scholar
• Rossello D (2008) MaxVaR with non-Gaussian distributed returns. Eur. J. Oper. Res. 189(1):159–171.Crossref, Google Scholar
• Sato K-I (1999) Lévy Processes and Infinitely Divisible Distributions (Cambridge University Press, Cambridge, UK).Google Scholar
• Sepp A (2004) Analytical pricing of double-barrier options under a double-exponential jump diffusion process: Applications of laplace transform. Internat. J. Theoret. Appl. Finance 7(2):151–175.Crossref, Google Scholar
• Steutel FW (1967) Note on the infinite divisibility of exponential mixtures. Ann. Math. Statist. 38(4):1303–1305.Crossref, Google Scholar
• Stulz R (1996) Rethinking risk management. J. Appl. Corporate Finance 9(3):8–25.Crossref, Google Scholar
• Vuong QH (1989) Likelihood ratio tests for model selection and non-nested hypotheses. Econometrica J. Econom. Soc. 57(2):307–333.Crossref, Google Scholar