Dear Forum,

I am not sure if I can raise this query here. I am trying to use Monte Carlo simulation for Call option VaR and for this I have simulated 1000 values each of the risk factors. I am using the Black Scholes for finding the premium. One of the input required to use Black Scholes is volatility besides Strike price, spot price, time to maturity and risk free rate.

My question is am I supposed to use Implied volatility or historical volatility? I tried to find out the answer through some sources but yet to get some concrete answer. I am using RQuantLib for calculating the Implied Volatility and its an European option.

If possible kindly guide. 


Regards

Katherine Gobin
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