We have one call option and one put option in portfolio (with the same underlying instrument)....
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We have one call option and one put option in portfolio (with the same underlying instrument). Both options have the same expiration time-half a year, the same exercise price X-$70 and So-$70, -0,05 (risk-free rate). Daily rate of return of underlying instrument can be described by normal probability (mean, variance): R-N(0; 0.0009) Use Delta-Gamma-Normal approximation to calculate daily Value at Risk of portfolio with tolerance level equal 0.05. We have 100 call options and 50 put options in portfolio (with the same underlying instrument - shares ABC) and 50 shares ABC. Both options have the same expiration time - half a year, the same exercise price X-$50 and So-$45, -0,05 (risk-free rate). Daily rate of return of underlying instrument can be described by normal probability N(mean, variance): RN(0;0.0004) Use Delta-Normal approximation to calculate daily value at risk of portfolio with tolerance level equal 0.05. We have one call option and one put option in portfolio (with the same underlying instrument). Both options have the same expiration time-half a year, the same exercise price X-$70 and So-$70, -0,05 (risk-free rate). Daily rate of return of underlying instrument can be described by normal probability (mean, variance): R-N(0; 0.0009) Use Delta-Gamma-Normal approximation to calculate daily Value at Risk of portfolio with tolerance level equal 0.05. We have 100 call options and 50 put options in portfolio (with the same underlying instrument - shares ABC) and 50 shares ABC. Both options have the same expiration time - half a year, the same exercise price X-$50 and So-$45, -0,05 (risk-free rate). Daily rate of return of underlying instrument can be described by normal probability N(mean, variance): RN(0;0.0004) Use Delta-Normal approximation to calculate daily value at risk of portfolio with tolerance level equal 0.05.
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Answer rating: 100% (QA)
To calculate the daily Value at Risk VaR of the portfolio using the DeltaGammaNormal approximation we need to follow these steps Step 1 Calculate the Delta and Gamma of the call option Step 2 Calculat... View the full answer
Related Book For
Fundamentals Of Corporate Finance
ISBN: 9780135811603
5th Edition
Authors: Jonathan Berk, Peter DeMarzo, Jarrad Harford
Posted Date:
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