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    Value at Risk Two Asset

    Copyright:

    © All Rights Reserved
    Download as XLSX, PDF, TXT or read online from Scribd
    Flag for inappropriate content
    5 views1 page

    Value at Risk Two Asset

    Uploaded by

    bing miranda
    Value at Risk Two Asset

    Copyright:

    © All Rights Reserved
    Download as XLSX, PDF, TXT or read online from Scribd
    Flag for inappropriate content
    of 1

    Value at Risk

    Delta-Gamma Method
    http://investexcel.net

    Parameters
    Share Price 40
    Strike Price 37
    Estimated Extreme Move 10
    Risk Free Rate 4.0%
    Dividend Yield 3.0%
    Time to Maturity (years) 10
    Volatility / year 30.0%

    Results Option Value Delta Gamma Value at Risk


    Call 12.50372919 0.552644 0.00626 5.5266
    Put 7.672842069 -0.44736 0.00626 4.4734

    Intermediate Calculations
    dt 0.948683298
    done 0.661929585
    dtwo -0.286753713
    ndone 0.745991825
    ndtwo 0.387150453
    nndone 0.254008175
    nndtwo 0.612849547
    nnone 0.320454839

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