[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
-- 
View this message in context: http://www.nabble.com/Conponent-VaR-for-some-option-portfolio-tp21704929p21704929.html
Sent from the Rmetrics mailing list archive at Nabble.com.



More information about the R-SIG-Finance mailing list