| BlackScholesCallESSim {Dowd} | R Documentation |
ES of Black-Scholes call using Monte Carlo Simulation
Description
Estimates ES of Black-Scholes call Option using Monte Carlo simulation
Usage
BlackScholesCallESSim(amountInvested, stockPrice, strike, r, mu, sigma,
maturity, numberTrials, cl, hp)
Arguments
amountInvested |
Total amount paid for the Call Option and is positive (negative) if the option position is long (short) |
stockPrice |
Stock price of underlying stock |
strike |
Strike price of the option |
r |
Risk-free rate |
mu |
Expected rate of return on the underlying asset and is in annualised term |
sigma |
Volatility of the underlying stock and is in annualised term |
maturity |
The term to maturity of the option in days |
numberTrials |
The number of interations in the Monte Carlo simulation exercise |
cl |
Confidence level for which ES is computed and is scalar |
hp |
Holding period of the option in days and is scalar |
Value
ES
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 call with given parameters.
BlackScholesCallESSim(0.20, 27.2, 25, .16, .2, .05, 60, 30, .95, 30)