# Tag Info

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This is not the Taylor expansion with respect to $t$, instead, it is the Taylor expansion with respect to $S$. Moreover, the prices at time $t+\delta t$ is used for approximation. That is, \begin{align*} \frac{\partial V}{\partial S}\big|_t &\approx \frac{V(uS, t) - V(vS, t)}{uS - vS}\\ &\approx \frac{V(uS, t+\delta t) - V(vS, t+\delta t)}{S(u-v)}\\ ...

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In my opnion you should you the Full revaluation historical VaR. Please readmy thread . If you need more help on the same i can gudie you .Historical Value At Risk on option portfolio

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Interest rate options (swaptions, caps, floors, spread options, mid-curves, etc) that are traded over-the-counter (OTC), as well as those listed on the Liffe/CME exchanges, have been quoted using Normal volatility (basis points, annualised) for quite some time for several reasons, not least of which is the lack of a real zero-bound in yields that you ...

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