I'm trying to calculate VaR for overall option positions. Currently I do a MC simulation for the underlying, and derive the theoretical value of the option from those theoretically. Then I calculate what the position is worth in relationship to the simulated underlying price. Can I then say what the VaR is from the theoretical options prices?

This is where I am now, but my VaR numbers don't seem as understandable as the plain underlying calculations. The distribution is my value of the ATM call option.

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  • $\begingroup$ how come your distribution has no mark 2 market losses? $\endgroup$ – mbison Dec 23 '15 at 21:56

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