LongBlackScholesCallVaR: Derives VaR of a long Black Scholes call option
In Dowd: Functions Ported from 'MMR2' Toolbox Offered in Kevin Dowd's Book Measuring Market Risk

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

1	LongBlackScholesCallVaR(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 LongBlackScholesCallVaR(27.2, 25, .03, .12, .2, 60, .95, 40)

Dowd documentation built on May 2, 2019, 6:15 p.m.

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