Brownian motion options trading risk


One of the most common ways to estimate risk is the use of a Monte Carlo simulation (MCS). For example, to calculate the value at risk (VaR) of a portfolio, we can run a Monte Carlo simulation that attempts to predict the worst likely loss for a portfolio given a confidence interval over a specified time horizon - we always need to specify two conditions for VaR: confidence and horizon.

(For related reading, see The Uses And Limits Of Volatility and Introduction To Value At Risk (VAR) - Part 1 and Part 2.)In this article, we will review a basic MCS applied to a stock price. Excellent interface. Great support - shoutout to Alex:) Only problem is that the risk exposure (i.e. maximum purchaseable option) is not forthcoming. It was a painful process to set up Toptenbinarybrokers.com offers a free comparison tool for choosing a binary options broker.

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Brownian motion options trading risk

Brownian motion risk trading options