برآورد اقدامات ریسک مالی برای گزینه ها

This paper proposes a simulation-lattice procedure to estimate financial risk measures for option positions. The framework proposed can be applied to many different kinds of options, including exotic and vanilla options; it can take account of early exercise features; heavy tails in underlying processes; estimate different risk measures, including VaR, Expected Shortfall and Spectral Risk Measures; and in a limited way it can be generalized to accommodate multiple-factors. It avoids many of the limitations of existing approaches and, in particular, avoids the problems associated approaches based on delta–gamma and similar approximations. It also generates some interesting results about the risk measures of some illustrative options positions.