题目
A portfolio manager bought 1,000 call options on a non-dividend-paying stock, with a strike price of USD 100, for USD 6 each. The current stock price is USD 104 with a daily stock return volatility of 1.89%, and the delta of the option is 0.6. Using the delta-normal approach to calculate VaR, what is an approximation of the 1-day 95% VaR of this position?
选项
A.USD 1,120
B.USD 1,946
C.USD 3,243
D.USD 5,406
答案
B
解析
95% VaR_(1-day) of the underlying=104×1.65×1.89%=3.2495% VaR_(1-day) of the option=1000×0.6 ×3.24=1,94695% VaR_(1－day) of the underlying=104×1.65×1.89%=3.2495% VaR_(1－day) of the option=1000×0.6 ×3.24=1,946