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VaR on exotic option
Hi Sir, I find it difficult to calculate the historical simulation to determine VaR since what parameter should I consider. Payoff at maturity is max{AUD25,000, [(SP500T/SP5000 x USD18,105)/((USD/AUD)T)]} • SP500T represents the value of the S&P 500 Index (USD basis) at maturity of the...- ekaleshan
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- var exotic option
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- Forum: P1.T4. Valuation & Risk Models (30%)