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J
VaR option / Bond
That makes a lot of sense. Thanks, David!- jshall
- Post #5
- Forum: P1.T4. Valuation & Risk Models (30%)
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J
VaR option / Bond
I'm a little confused: is *MINUS* or *PLUS* appropriate? VaR_opt = [VaR_stock x Delta] *MINUS* [0.5 x VaR_stock^2 x gamma] (This was posted by mh2452 and I know that I have this equation in my notes somewhere) or VaR_opt = [VaR_stock x Delta] *PLUS* [0.5 x VaR_stock^2 x gamma] (Which is how...- jshall
- Post #3
- Forum: P1.T4. Valuation & Risk Models (30%)