基于Delta-Gamma-Theta模型的外汇期权风险度量

引入金融参数Delta、Gamma、Theta,将外汇期权近似表达式拓展成Delta Gamma Theta模型,然后分别使用了MonteCarlo方法和Cornish Fisher方法来计算外汇期权组合的VaR值,并发现使用这两种方法得到的VaR值相差不大,都比Delta 正态模型有非常大的改进,但Cornish Fisher方法计算简单、快速,而MonteCavlo方法计算繁琐、速度慢.

Risk Measure of FX Options Based on Delta-Gamma-Theta Model

In this paper we introduce finance parameter: Delta, Gamma, Theta. And develop approximate expression of the change in the value of FX options into Delta-Gamma-Theta model. Then we use Monte Carlo approach and Cornish-Fisher approach to compute VaR value of portfolio of FX options. Moreover, we find the gained VaR value using Cornish-Fisher approach is near to the gained VaR value using Monte Carlo approach, and the Delta-Gamma-Theta Model using the two approaches is evidently better than the Delta-Normal model. However, the Cornish-Fisher approach is simple and quick in the process of computation, and the Monte Carlo approach is burdensome in the process of computation and occupies long time.