Description Usage Arguments Value Author(s) References Examples
Estimates VaR of American Put Option using binomial tree to price the option and historical method to compute the VaR.
1 2 | AmericanPutVaRBinomial(amountInvested, stockPrice, strike, r, volatility,
maturity, numberSteps, cl, hp)
|
amountInvested |
Total amount paid for the Put Option. |
stockPrice |
Stock price of underlying stock. |
strike |
Strike price of the option. |
r |
Risk-free rate. |
volatility |
Volatility of the underlying stock. |
maturity |
Time to maturity of the option in days. |
numberSteps |
The number of time-steps considered for the binomial model. |
cl |
Confidence level for which VaR is computed. |
hp |
Holding period of the option in days. |
VaR of the American Put Option
Dinesh Acharya
Dowd, Kevin. Measuring Market Risk, Wiley, 2007.
Lyuu, Yuh-Dauh. Financial Engineering & Computation: Principles, Mathematics, Algorithms, Cambridge University Press, 2002.
1 2 | # Market Risk of American Put with given parameters.
AmericanPutVaRBinomial(0.20, 27.2, 25, .16, .05, 60, 20, .95, 30)
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