【摘要】 本文在股票价格、公司价值和公司负债均服从分数布朗运动条件下,初步探讨欧式股票期权的VaR(Value at Risk)CVaR(Conditional VaR)的计算问题,推导了该期权VaR和CVaR的计算公式。更多还原

【Abstract】 On the condition that the stock prices,the company value and the company debt follow the fractional Brownian motion,the calculation of Value at Risk(VaR) and CVaR(Conditional VaR) of fragile European stock option were discussed.And the calculation formula of the VaR and CVaR were derived.更多还原