[Returnanalytics-commits] r3894 - pkg/Dowd/man

[noreply at r-forge.r-project.org]

Author: dacharya
Date: 2015-07-31 11:27:25 +0200 (Fri, 31 Jul 2015)
New Revision: 3894

Added:
   pkg/Dowd/man/ShortBlackScholesCallVaR.Rd
Log:
Function ShortBlackScholesCallVaR added.

Added: pkg/Dowd/man/ShortBlackScholesCallVaR.Rd
===================================================================
--- pkg/Dowd/man/ShortBlackScholesCallVaR.Rd	                        (rev 0)
+++ pkg/Dowd/man/ShortBlackScholesCallVaR.Rd	2015-07-31 09:27:25 UTC (rev 3894)
@@ -0,0 +1,49 @@
+% Generated by roxygen2 (4.1.1): do not edit by hand
+% Please edit documentation in R/ShortBlackScholesCallVaR.R
+\name{ShortBlackScholesCallVaR}
+\alias{ShortBlackScholesCallVaR}
+\title{Derives VaR of a short Black Scholes call option}
+\usage{
+ShortBlackScholesCallVaR(stockPrice, strike, r, mu, sigma, maturity, cl, hp)
+}
+\arguments{
+\item{stockPrice}{Stock price of underlying stock}
+
+\item{strike}{Strike price of the option}
+
+\item{r}{Risk-free rate and is annualised}
+
+\item{mu}{Mean return}
+
+\item{sigma}{Volatility of the underlying stock}
+
+\item{maturity}{Term to maturity and is expressed in days}
+
+\item{cl}{Confidence level and is scalar}
+
+\item{hp}{Holding period and is scalar and is expressed in days}
+}
+\value{
+Price of European Call Option
+}
+\description{
+Function derives the VaR of a short Black Scholes call for specified
+confidence level and holding period, using analytical solution.
+}
+\examples{
+# Estimates the price of an American Put
+   ShortBlackScholesCallVaR(27.2, 25, .03, .12, .2, 60, .95, 40)
+}
+\author{
+Dinesh Acharya
+}
+\references{
+Dowd, Kevin. Measuring Market Risk, Wiley, 2007.
+
+Hull, John C.. Options, Futures, and Other Derivatives. 4th ed., Upper Saddle
+River, NJ: Prentice Hall, 200, ch. 11.
+
+Lyuu, Yuh-Dauh. Financial Engineering & Computation: Principles,
+Mathematics, Algorithms, Cambridge University Press, 2002.
+}
+