I want to implement the approach described in the following recipe for calculating VaR: Is there a step-by-step guide for calculating portfolio VaR using monte carlo simulations
I was told that I can safely assume that $\mu=0$ for stocks when calculating VaR over a short time horizon (1 to 10 days). Is this correct? The reasoning would be that $\sigma$ will be much larger than $\mu$, which will be negligible in comparison (and close to zero). In that case can I simply use $\mu=0$ for stocks and $\mu=r$ for options in the step-by-step approach described in the previous link? Also how should I approximate $\mu$ in the general case if I needed to? Should I use historical stock returns over a period of time (for example 100 days), average it and consider the result as an approximation of $\mu$? Thanks for your help!