Description Usage Arguments Value Author(s) References Examples

View source: R/ShortBlackScholesCallVaR.R

Function derives the VaR of a short Black Scholes call for specified confidence level and holding period, using analytical solution.

1 | ```
ShortBlackScholesCallVaR(stockPrice, strike, r, mu, sigma, maturity, cl, hp)
``` |

`stockPrice` |
Stock price of underlying stock |

`strike` |
Strike price of the option |

`r` |
Risk-free rate and is annualised |

`mu` |
Mean return |

`sigma` |
Volatility of the underlying stock |

`maturity` |
Term to maturity and is expressed in days |

`cl` |
Confidence level and is scalar |

`hp` |
Holding period and is scalar and is expressed in days |

Price of European Call Option

Dinesh Acharya

Dowd, Kevin. Measuring Market Risk, Wiley, 2007.

Hull, John C.. Options, Futures, and Other Derivatives. 4th ed., Upper Saddle River, NJ: Prentice Hall, 200, ch. 11.

Lyuu, Yuh-Dauh. Financial Engineering & Computation: Principles, Mathematics, Algorithms, Cambridge University Press, 2002.

1 2 | ```
# Estimates the price of an American Put
ShortBlackScholesCallVaR(27.2, 25, .03, .12, .2, 60, .95, 40)
``` |

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