Value-at-risk measuring for subdiffusion option pricing models

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dc.contributor.authorShchestyuk, Nataliyaen_US
dc.contributor.authorTyshchenko, Serhiien_US
dc.date.accessioned2025-01-29T10:01:19Z
dc.date.available2025-01-29T10:01:19Z
dc.date.issued2024
dc.description.abstractThe value-at-risk is a useful tool for investors and can be used for understanding the past and making medium-term and strategic decisions for the future. The paper focuses on the risk measuring in the option price subdiffusive model under the unusual behavior of the market, when the price may not be changed for some time, which is quite a common situation in modern illiquid financial markets or during global crise.en_US
dc.identifier.citationShchestyuk N. Value-at-risk measuring for subdiffusion option pricing models / N. Shchestyuk, S. Tyshchenko // XХXIX International Conference "Problems of decision making under uncertainties" (PDMU-2024), Brno, Czech Republic, September 9-10, 2024 : abstracts / Taras Shevchenko National University of Kyiv (Ukraine), University of Defence, Brno, Czech Republic [et al.]. - Кyiv, 2024. - P. 124.en_US
dc.identifier.isbn978-617-555-228-5
dc.identifier.urihttps://ekmair.ukma.edu.ua/handle/123456789/33366
dc.language.isoenen_US
dc.relation.sourceXХXIX International Conference "Problems of decision making under uncertainties" (PDMU-2024), Brno, Czech Republic, September 9-10, 2024 : abstractsen_US
dc.statusfirst publisheden_US
dc.subjectvalue-at-risken_US
dc.subjectoption pricingen_US
dc.subjectDupire’s equationen_US
dc.subjectconference abstractsen_US
dc.titleValue-at-risk measuring for subdiffusion option pricing modelsen_US
dc.typeConference materialsen_US
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