LongBlackScholesCallVaR {Dowd} | R Documentation |

## Derives VaR of a long Black Scholes call option

### Description

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

### Usage

```
LongBlackScholesCallVaR(stockPrice, strike, r, mu, sigma, maturity, cl, hp)
```

### Arguments

`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 |

### Value

Price of European Call Option

### Author(s)

Dinesh Acharya

### References

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.

### Examples

```
# Estimates the price of an American Put
LongBlackScholesCallVaR(27.2, 25, .03, .12, .2, 60, .95, 40)
```

[Package

*Dowd*version 0.12 Index]