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Mapping a European Stock Option

A European stock option can be mapped to two positions: 1. A Long position in the asset, plus 2. a short position in underlying bill (i.e., interest rate factor).

https://www.youtube.com/watch?v=3wEBJbUuKfQ

This video is developed by David from Bionic Turtle.

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Course: VaR Mapping
LESSONS
  • Mapping a Fixed Income Portfolio to Risk Factors
  • Bond Returns Value at Risk (VaR) as Bond Risk
  • Mapping a European Stock Option
  • VaR of Forward Foreign Currency Contract
  • Undiversified Bond Value at Risk (VaR)
  • Diversified Bond Value at Risk (VaR)

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