Need help with 20.2 22.1 22.2 if you could please help with those

Problem 20.2 On Tuesday 3"d November 2020 Alibaba Holding Group Limited had a closing price of 299.80 Hong Kong Dollars. After the market had closed, news broke that the planned IPO for Ant financial had been suspended. On Wednesday 4" November at 9:30am when HKEX opened for trading Alibaba was trading at 273.00 HKD, a 8.9% price drop. Imagine you were working for a bank who had sold put options on Alibaba with a strike price of 300.00 HKD, with expiration on the 6" of November. The bank sold the put options using the price suggested by Black-Scholes. They were hedging the option as if the BSM model was exactly true. a) What is the status of your hedge portfolio on Wednesday morning? b) What parts of this trading situation violate the assumptions of the BSM model. c) How would you recommend they change their pricing and/or hedging arrangements in the future. Chapter 22 Problem 22.1. Consider a position consisting of a $100,000 investment in asset X and a $100,000 investment in asset X. Assume that the daily volatilities of both assets are 1% and that the coefficient of correlation between their returns is 0.3. a) What is the 5-day 99% VaR for the portfolio? b) What is the 5-day 99% VaR for a $200,000 investment in asset X? c) Is your answer to a) different from your answer to b), why? Problem 22.2 Suppose that the daily change in the value of a portfolio is, to a good approximation, linearly dependent on three factors, calculated from a principal components analysis. The delta of a portfolio with respect to the first factor is 6, the delta with respect to the second factor is -4, and the delta with respect to the third factor is 2. The standard deviations of the factors are 20, 8, and 3 respectively. a) What is the 5-day 95% VaR? b) If you could only choose two of the three factors in the PCA, which would you choose and why? c) Recalculate your answer to part a) given your choice in b)