AmericanPutESBinomial

amountInvested

stockPrice

strike

volatility

maturity

The number of time-steps considered for
the binomial model.

numberSteps

Confidence level for which VaR is computed.


Estimates ES of American Put Option using binomial tree to price the option
and historical method to compute the VaR.


'Kevin Dowd's' book Measuring Market Risk is a widely read book
in the area of risk measurement by students and
practitioners alike. As he claims, 'MATLAB' indeed might have been the most
suitable language when he originally wrote the functions, but,
with growing popularity of R it is not entirely
valid. As 'Dowd's' code was not intended to be error free and were mainly
for reference, some functions in this package have inherited those
errors. An attempt will be made in future releases to identify and correct
them. 'Dowd's' original code can be downloaded from www.kevindowd.org/measuring-market-risk/.
It should be noted that 'Dowd' offers both
'MMR2' and 'MMR1' toolboxes. Only 'MMR2' was ported to R. 'MMR2' is more
recent version of 'MMR1' toolbox and they both have mostly similar
function. The toolbox mainly contains different parametric and non
parametric methods for measurement of market risk as well as
backtesting risk measurement methods.

AmericanPutESBinomial: Estimates ES of American vanilla put using binomial tree.

Description

Usage

Arguments

Value

References

Examples