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The Journal of Derivatives

The Journal of Derivatives

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Primary Article

Value at Risk When Daily Changes in Market Variables are not Normally Distributed

John C Hull and Alan D White
The Journal of Derivatives Spring 1998, 5 (3) 9-19; DOI: https://doi.org/10.3905/jod.1998.407998
John C Hull
A professor in the Faculty of Management at the University of Toronto.
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Alan D White
A professor in the Faculty of Management at the University of Toronto.
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The Journal of Derivatives
Vol. 5, Issue 3
Spring 1998
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Value at Risk When Daily Changes in Market Variables are not Normally Distributed
John C Hull, Alan D White
The Journal of Derivatives Feb 1998, 5 (3) 9-19; DOI: 10.3905/jod.1998.407998

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Value at Risk When Daily Changes in Market Variables are not Normally Distributed
John C Hull, Alan D White
The Journal of Derivatives Feb 1998, 5 (3) 9-19; DOI: 10.3905/jod.1998.407998
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Cited By...

  • A Fast Monte Carlo Algorithm for Estimating Value at Risk and Expected Shortfall
  • Scopus (104)
  • Google Scholar

More in this TOC Section

  • Variance Reduction for Multivariate Monte Carlo Simulation
  • Valuing Multiple Employee Stock Options Issued by the Same Company
  • Pricing American Interest Rate Options under the Jump-Extended Vasicek Model
Show more Primary Article

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