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

2. © 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

3. 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

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