题目
A single stock has a price of USD 10 and a current daily volatility of 2%. Using the delta-normal method, the VaR at the 95% confidence level of a long at-the-money call on this stock over a one-day holding period is approximately:
选项
A.USD 1.645
B.USD 0.16
C.USD 0.33
D.USD 0.23
答案
B
解析
Delta is 0.5 when call option is at the money. So, VaR=10×0.5×1.65×2%=0.165.当看涨期权平价时，Delta为0.5。VaR=10×0.5×1.65×2%=0.165