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)
```

*Dowd*version 0.12 Index]