[R-SIG-Finance] [R-sig-finance] Conponent VaR for some option portfolio
megh
megh700004 at yahoo.com
Thu Jan 29 06:20:41 CET 2009
Can people here please guide me how to calculate Componrnt VaR (sensitivity)
of an option position, for a portfolio which consists of number of stocks
and option contracts (put ot call or both). Any document, research paper
over net is highly appreciated.
Thanks
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