Description Usage Arguments Value Author(s) References Examples
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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