题目
A trader has an option position in crude oil with a delta of 100,000 barrels and gamma of 50,000 barrels per dollar move in price. Using the delta-gamma methodology, compute the VaR on this position, assuming the extreme move on crude oil is $2.00 per barrel.
选项
A.$100,000
B.$200,000
C.$300,000
D.$400,000
答案
A
解析
「huixue_img/importSubject/1564170389079330816.png」