تقدير القيمة المعرضة للخطر للخيارات الأوروبية في إطار نموذج بلاك شولز : توسيع دلتا قاما : دراسة حالة بورصة باريس

Abstract EN

This study aims to shed light on the assessment of Value-at-Risk of the European call and put options for a sample of some companies listed on the Paris Stock Exchange according to the Delta-Gamma expansion, which provides a more accurate analytical formula under the Black Scholes model by looking at the advantages of option contracts and the problems they face when estimating VAR and then looking for the best possible solutions.

The study concluded that the nonlinear relationship of the risk factors that characterize option contracts is the main problem when estimating the VAR of the latter.

This problem can be overcome through the use of analytical methods, where delta-Gamma expansion is considered the most precise of these methods and this is to be taken into consideration additional conditions for Taylor's expansion to infinite orders.