The effect of VaR based risk management on asset prices and the volatility smile

Roy Kouwenberg, A Berkelaar, P Cumperayot

Research output: Contribution to journalArticleAcademicpeer-review

13 Citations (Scopus)
Original languageUndefined/Unknown
Pages (from-to)139-164
Number of pages26
JournalEuropean Financial Management
Volume8
Publication statusPublished - 2002

Research programs

  • EUR ESE 08

Cite this