Problem 3 A call option on S&P 500 has a strike price 950. The index value is $940.38. (This data is from the financial crisis period). The option expires in 0.25 years (3 months). Volatility of the index is currently at 24.34%, and the risk- free rate is 0.17% per annum. a. Using Black-Scholes option pricing model, calculate the premium of the call option today. b. From historical data over the crisis period, the expected return on the call option over the next single trading day is -0.506% while the "worst-case" return at the 99% confidence level is -60.962%. Find Value at Risk of the option position. c. If you estimated Value at Risk from the most recent year (2019), do you believe that the result would be higher, about the same, or lower than your answer in part b? Please explain the rationale for your answer. Problem 3 A call option on S&P 500 has a strike price 950. The index value is $940.38. (This data is from the financial crisis period). The option expires in 0.25 years (3 months). Volatility of the index is currently at 24.34%, and the risk- free rate is 0.17% per annum. a. Using Black-Scholes option pricing model, calculate the premium of the call option today. b. From historical data over the crisis period, the expected return on the call option over the next single trading day is -0.506% while the "worst-case" return at the 99% confidence level is -60.962%. Find Value at Risk of the option position. c. If you estimated Value at Risk from the most recent year (2019), do you believe that the result would be higher, about the same, or lower than your answer in part b? Please explain the rationale for your