24. A positive gamma portfolio tends to have a () left tail than the normal distribution....
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24. A positive gamma portfolio tends to have a () left tail than the normal distribution. If the distribution of AP is normal, the calculated VaR tends to be( ). IV too low I heavier A. I, III II less heavy B. II, III III too high C.II, IV 25.Consider a portfolio consisting only of stock Alpha. Stock Alpha has a market value of $635,000 and an annualized volatility of 20%. Calculate the VaR assuming normally distributed returns with a 99% confidence (N¹(0.01) = -2.326) interval for a 10-day holding period and 252 business days in a year. The daily return is assumed to be zero. ( ) A. $56,225 C.$82,525 B.$69,420 26. What is the lower pricing bound for a European call option with a strike price of 80 and one year until expiration? The price of the underlying asset is 90,and the 1-year interest rate is 5% per annum. Assume continuous compounding of interest. ( ) A.13.9 C.5.90 B.10.00 24. A positive gamma portfolio tends to have a () left tail than the normal distribution. If the distribution of AP is normal, the calculated VaR tends to be( ). IV too low I heavier A. I, III II less heavy B. II, III III too high C.II, IV 25.Consider a portfolio consisting only of stock Alpha. Stock Alpha has a market value of $635,000 and an annualized volatility of 20%. Calculate the VaR assuming normally distributed returns with a 99% confidence (N¹(0.01) = -2.326) interval for a 10-day holding period and 252 business days in a year. The daily return is assumed to be zero. ( ) A. $56,225 C.$82,525 B.$69,420 26. What is the lower pricing bound for a European call option with a strike price of 80 and one year until expiration? The price of the underlying asset is 90,and the 1-year interest rate is 5% per annum. Assume continuous compounding of interest. ( ) A.13.9 C.5.90 B.10.00
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Related Book For
Materials and process in manufacturing
ISBN: 978-0471656531
9th edition
Authors: E. Paul DeGarmo, J T. Black, Ronald A. Kohser
Posted Date:
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