VaR estimation of options

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andreask
Posts: 2
Joined: Wed Apr 21, 2010 3:03 pm

VaR estimation of options

Postby andreask » Thu Apr 22, 2010 8:11 am

Hi

I am trying to estimate the VaR of a option by using Historical and the VCV metod in Excel `:roll:` . Right now I have this data for a stock, and have calculated the VaR for the stock and the option with the Monte Carlo method.

I will now calculate the VaR for the option and the stock by using the historical and VCV method. I have estimated the stock VaR for the VCV method by using the Stdv(T)=stdv(t)*SQRT(T), but I am not sure how to estimate the VaR for the option in this case?

How can I estimate the VaR for the stock and the option in time (T) by using the historical?

Best

coalexander
Posts: 815
Joined: Sun Sep 28, 2008 10:30 pm

Re: VaR estimation of options

Postby coalexander » Thu Apr 22, 2010 5:15 pm

Hi

Have you read Chapter 5 of Volume IV? This addresses both of your questions in considerable detail, so I am not quite sure how to reply to your questions.

Best Wishes, Carol

andreask
Posts: 2
Joined: Wed Apr 21, 2010 3:03 pm

Re: VaR estimation of options

Postby andreask » Thu Apr 22, 2010 5:50 pm

Thanks for answering so quickly.

I actually knew that this topic is treated in IV..
The problem is that I do not have the book at the moment, and since I am working with VaR for an exam I have to deliver in a short time. Unfortunately I am not able to buy the book and get it before the deadline for this exam. There are to many shippingdays from amazon to Norway `:roll:` you know, the volcano `:D` Thats why I just had to desperately try this possibility `;)`

Best


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