EX_IV.5.3- Historical VaR for Options

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suresh
Posts: 1
Joined: Wed Nov 26, 2014 11:30 am

EX_IV.5.3- Historical VaR for Options

Postby suresh » Wed Nov 26, 2014 12:52 pm

Hi Prof. Carol,

I am trying to calculate historical VaR for index options ('NKY 11/14/14 C16875 Index') by referring to 'EX_IV.5.3.xls'(Volume IV).I am not clear on 'Point Value' which you have mentioned in excel and text book. Could you please elaborate calculation of 'Point Value'?

Thanks,
Suresh

FaridMoussaoui
Posts: 17
Joined: Sat Oct 04, 2008 10:59 am

Re: EX_IV.5.3- Historical VaR for Options

Postby FaridMoussaoui » Mon Dec 01, 2014 2:48 pm

The point value is the multiplier used to compute the value of an option (the leverage). The example is a S&P option, have a look at the option specification on CME web site: http://www.cmegroup.com/trading/equity- ... tions.html

The point value (pv) is only used on the formula for computing VaRs in B17 & B18 and you can see that pv is used as a multiplier.

F.


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