Question: please show all steps Problem 4. Use the variance-covariance method to estimate the daily VaR0_95 and E8035 for the portfolio with the following value at

please show all steps

Problem 4. Use the variance-covariance method to estimate the daily VaR0_95 and E8035 for the portfolio with the following value at the period T; = 0, l V" = 033(tn18113) + BXP((1tn)?') 3: Suppose that the exercise price of the call option is K = 100, the current value of the stock 51 is 36 = 110, the time to maturity is one year (250 days), the volatility is or = 0-2 and the interest rate is r = 0.02. The current value of the stock 8'2 is 5'3 = 80 and the daily log-return X of (31,32) is assumed to follow N2( [ 3-; :| ! [ 115 155 ] )

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