Consider a portfolio of options on a single asset Suppose that the delta of the portfolio is 12, the value of the asset is $10, and the daily volatility of the asset is 2 Estimate the one day 95 VaR for the portfolio from the delta ...

An approximate relationship between the daily change in the ...

Consider a portfolio of options on a single asset. Suppose that the delta of the portfolio is

Question:

Consider a of options on a single asset. Suppose that the delta of the is 12, the value of the asset is $10, and the daily volatility of the asset is 2%. Estimate the one-day 95% VaR for the from the delta.
Portfolio
A portfolio is a grouping of financial assets such as stocks, bonds, commodities, currencies and cash equivalents, as well as their fund counterparts, including mutual, exchange-traded and closed funds. A portfolio can also consist of non-publicly...