Value at Risk of portfolio consisting options

Posted by Fred

Input:
Number of first option contract
Number of second option contract
Share price underlying asset 1 usd
Share price underlying asset 2 usd
Volatility of asset 1 %
Volatility of asset 2 %
delta of option 1
delta of option 2
Correlation between asset 1 and asset 2
Time horizon of VaR (N) days
Confidence level
Output:
1-day VaRusd
N-day VaRusd

Tagged: VaR Calculator, Cash Flow Mapping, Value at Risk

 •  Aug 10, 2014  • 

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