© K. Cuthbertson and D. Nitzsche

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© K. Cuthbertson and D. Nitzsche Figures for Chapter 28 Market Risk : Value at Risk (Quantitative Financial Economics) © K. Cuthbertson and D. Nitzsche

© K. Cuthbertson and D. Nitzsche OH-Isssues Figure 1 : Black-Scholes Option Price : Long Call Call premium and stock price are positively related Call Premium Value of call prior to expiry: Black-Scholes B Y option’s delta = slope of line X-Y C1= 10 C0= 9.6 A S0= 50 S1= 51 X © K. Cuthbertson and D. Nitzsche

Stock Price (strike price, K = 50) OH-Isssues Figure 2 : Delta and Gamma : Long Call Delta Gamma Stock Price (strike price, K = 50) © K. Cuthbertson and D. Nitzsche

© K. Cuthbertson and D. Nitzsche OH-Isssues Figure 3 : Market Risk : VaR © K. Cuthbertson and D. Nitzsche

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