[R] Value-at-Risk Portfolio(both equity and option)
cedrick at cedrickjohnson.com
Wed Mar 31 04:13:10 CEST 2010
Check out this discussion on r-sig-finance regarding VaR for options.
Quite informative and should be a good starting point.
On 3/30/10, zhang <yn19832 at msn.com> wrote:
> Hello All,
> I am working on the risk measures for a portfolio, which contain both equity
> futures, equity options and currency options. There are many packages
> related with the portoflio which only contain the equities,I wonder whether
> there is any avaible package that could include the option.
> Thank you.
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