Option-Implied Intrahorizon Value at Risk
- Leippold, Markus ORCID Department of Banking and Finance, University of Zurich, 8032 Zurich, Switzerland;
- Vasiljević, Nikola ORCID Department of Banking and Finance, University of Zurich, 8032 Zurich, Switzerland
Published in:
- Management Science. - Institute for Operations Research and the Management Sciences (INFORMS). - 2020, vol. 66, no. 1, p. 397-414
- Language
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- English
- Open access status
- green
- Identifiers
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- DOI 10.1287/mnsc.2018.3157
- ISSN 0025-1909
- Persistent URL
- https://susi.usi.ch/global/documents/254232
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