Consider a short position of one unit in a call option on a stock with exercise...
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Consider a short position of one unit in a call option on a stock with exercise price K = $500 and maturity T = 1 year. The stock's current price is S = $475, the volatility is = 18%, and the dividend yield is q = 5%. The risk-free rate is RF = 2%, and the expected (price) return of the stock is = 5%. All parameters are annual values. What is the 5% daily. Delta VaR of the short call option position in dollars? Do not assume that the expected change in the value of the option position is zero. Use 3 decimal places for your answer. (You can use the attached Excel spreadsheet to compute option prices and derivatives.) Consider a short position of one unit in a call option on a stock with exercise price K = $500 and maturity T = 1 year. The stock's current price is S = $475, the volatility is = 18%, and the dividend yield is q = 5%. The risk-free rate is RF = 2%, and the expected (price) return of the stock is = 5%. All parameters are annual values. What is the 5% daily. Delta VaR of the short call option position in dollars? Do not assume that the expected change in the value of the option position is zero. Use 3 decimal places for your answer. (You can use the attached Excel spreadsheet to compute option prices and derivatives.)
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