= Consider a long position of one unit in a put option on a stock with...
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= Consider a long position of one unit in a put option on a stock with exercise price K $200 and maturity T = 2 years. The stock's current price is S = $225, the volatility is o = 17%, and the dividend yield is zero. The risk-free rate is R = 3%, and the expected (price) return of the stock is μ = 7%. All parameters are annual values. What is the 5% monthly Delta VaR of the put option position in dollars? Assume that the expected change in the value of the option position is zero. Use 3 decimal places = Consider a long position of one unit in a put option on a stock with exercise price K $200 and maturity T = 2 years. The stock's current price is S = $225, the volatility is o = 17%, and the dividend yield is zero. The risk-free rate is R = 3%, and the expected (price) return of the stock is μ = 7%. All parameters are annual values. What is the 5% monthly Delta VaR of the put option position in dollars? Assume that the expected change in the value of the option position is zero. Use 3 decimal places
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