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How could we calculate VaR for a futures contract or a option position? I know that a VaR is calculated by the return multiply the investment amount, but how could we calculate the investment amount of a future contract or options? Espeically for short position, the above formula become more confused.

Anyone give a hint when applying VaR to Futures contract and Options, thanks!

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    $\begingroup$ Helpful book $\endgroup$
    – Dimitri Vulis
    Jan 7 at 4:14
  • $\begingroup$ Thanks! It helps, but still need more references for options and more example for futures. $\endgroup$
    – Frank Cheng
    Jan 7 at 11:57

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