Problem13_21

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Unformatted text preview: ## ### ### ### ### ### ### ### Cum. Cost #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? Calls ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### Shares ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### Trading Volume Cost ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### Total Cost Int. Cost ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### Cum. Cost #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? Calls ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### Shares ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### VALUE AT RISK CALCULATION FOR PORTFOLIO OF OPTIONS DEPENDENT ON A SINGLE STOCK Uses Results in Chapter 20 of Options, Futures and Other Derivatives, 7e Problem 20.21 in Options, Futures and Other Derivatives, 7e is based on this application Today S IsFut r q Volatility 1-Day Vol 0 49 FALSE 5% 0% 30% 1.89% Portfolio Underlying Black Scholes Black Scholes Black Scholes Type 0 1 1 1 Number 1000 100 500 1600 z_q w_q -2.3263 ### 55 50 50 0.5 0.25 0.2 TRUE TRUE FALSE Portfolio Value #MACRO? Delta #MACRO? Gamma #MACRO? Linear model 1-Day VaR Quadratic Model E(dP) E(dp^2) E(dP^3) #MACRO? #MACRO? #MACRO? 1-Day VaR #MACRO? mu_P Sig_P Xi_P ### ### ### We calculate the analytic VaR by generating 1000 equally likely portfolio values 1-Day VaR #MACRO? Portfolio Value 12 ### ### ### 10 ### ### ### 8 ### ### ### 6 ### ### ### 4 ### ### ### 2 ### ### ### 0 ### 45 46 ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ###...
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This document was uploaded on 04/10/2014.

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