var exotic option

  1. E

    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...
Top