Consider a portfolio that consists of a long position of one unit in each of two...

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Consider a portfolio that consists of a long position of one unit in each of two at-the-money call options (the strike price is the same as the stock price). The first call option is on Stock 1, whose price is 100 and volatility is 15%. The second call option is on Stock 2, whose price is 200 and volatility is 25%. The correlation between the stock returns is 0.3. Neither stock pays any dividends, and the time to maturity of both options is 5 years. The risk-free rate is 2%. All parameters are all annual values. What is the 5% daily. Delta VaR of the portfolio in dollars? Assume that the expected change in the value of the portfolio is zero. Use 3 decimal places for your answer. Consider a portfolio that consists of a long position of one unit in each of two at-the-money call options (the strike price is the same as the stock price). The first call option is on Stock 1, whose price is 100 and volatility is 15%. The second call option is on Stock 2, whose price is 200 and volatility is 25%. The correlation between the stock returns is 0.3. Neither stock pays any dividends, and the time to maturity of both options is 5 years. The risk-free rate is 2%. All parameters are all annual values. What is the 5% daily. Delta VaR of the portfolio in dollars? Assume that the expected change in the value of the portfolio is zero. Use 3 decimal places for your answer.