BlackScholesCallESSim

Total amount paid for the Call Option and is positive
(negative) if the option position is long (short)

amountInvested

stockPrice

strike

Expected rate of return on the underlying asset and is in
annualised term

Volatility of the underlying stock and is in annualised
term

sigma

The term to maturity of the option in days

maturity

The number of interations in the Monte Carlo simulation
exercise

numberTrials

Confidence level for which ES is computed and is scalar

Holding period of the option in days and is scalar


Estimates ES of Black-Scholes call Option using Monte Carlo simulation


'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.

BlackScholesCallESSim: ES of Black-Scholes call using Monte Carlo Simulation

Description

Usage

Arguments

Value

References

Examples