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Hello! Can I ask you a question regarding Monte Carlo VaR which accounts for correlation?

Thank you for your reply! My thesis supervisor suggested me to set delta equal to 1. It means that there should be no difference between the distribution of option returns and distribution of any another stock when the underlying stock is above the strike price. This how my option returns...

Hello everyone! I am writing a master thesis about VaR. The main idea of it is to compare various methods VaR estimation. For that purpose i used a hypothetical portfolio made of 2 stocks and 1 call option, value of which is calculated as max(St-K;0). So far I used Historical Simulation, EWMA...