AmericanPutVaRBinomial {Dowd} | R Documentation |
Estimates VaR of American vanilla put using binomial tree.
Description
Estimates VaR of American Put Option using binomial tree to price the option and historical method to compute the VaR.
Usage
AmericanPutVaRBinomial(amountInvested, stockPrice, strike, r, volatility,
maturity, numberSteps, cl, hp)
Arguments
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. |
Value
VaR of the American Put Option
Author(s)
Dinesh Acharya
References
Dowd, Kevin. Measuring Market Risk, Wiley, 2007.
Lyuu, Yuh-Dauh. Financial Engineering & Computation: Principles, Mathematics, Algorithms, Cambridge University Press, 2002.
Examples
# Market Risk of American Put with given parameters.
AmericanPutVaRBinomial(0.20, 27.2, 25, .16, .05, 60, 20, .95, 30)
[Package Dowd version 0.12 Index]