Serving the Quantitative Finance Community
calculate VaR using Monte Carlo for Portfolio containing Options
Hi everyone,I have a query. I am aware of how to use monte carlo to find the var for an equity portfolio or an asset portfolio. I am also aware of how to find VaR for option. However my question is how to find VaR and also compute variance covariance matrix for a PORTFOLIO WHICH HAS UNDERLYING ASSET (FUTURES) AND DERIVATIVES (CALL OPTION) ON THE UNDERLYING ASSET.IF SOMEONE CAN TELL ME STEPS TO BE FOLLOWED AND CAN ALSO RECOMMEND SOME ARTICLES WOULD BE REALLY APPRECIATED.CHEERS