Use the variance-covariance method to estimate the daily VaR0.95 and ES0.95 for the portfolio with the...

 

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Use the variance-covariance method to estimate the daily VaR0.95 and ES0.95 for the portfolio with the following value at the period n = 0, 1 Vn=CBS (tn, S₁) + exp(-(1-tn)r) - S²/2 Suppose that the exercise price of the call option is K = 100, the current value of the stock S¹ is S 110, the time to maturity is one year (250 days), the volatility is o = 0.2 and the interest rate is r = 0.02. The current value of the stock S₂ is S2 = 80 and the daily log-return 0.1 1 1.5 ( [02] - [ HEBD 1.5 3 = X of (S1, S₂) is assumed to follow N₂ Use the variance-covariance method to estimate the daily VaR0.95 and ES0.95 for the portfolio with the following value at the period n = 0, 1 Vn=CBS (tn, S₁) + exp(-(1-tn)r) - S²/2 Suppose that the exercise price of the call option is K = 100, the current value of the stock S¹ is S 110, the time to maturity is one year (250 days), the volatility is o = 0.2 and the interest rate is r = 0.02. The current value of the stock S₂ is S2 = 80 and the daily log-return 0.1 1 1.5 ( [02] - [ HEBD 1.5 3 = X of (S1, S₂) is assumed to follow N₂