题目
An at-the money European call on the DJ EURO STOXX 50 index a strike of 2200 and maturing in 1 year is trading at EUR 350, where contract value is determined by EUR 10 per index point. The risk-free rate is 3% per year, and the daily volatility of the index is 2.05%. If we assume that the expected return on the DJ EURO STOXX 50 is 0%, the 99% 1-day VaR of a short position on a single call calculated using the delta-normal approach is closest to:
选项
A.EUR 8
B.EUR 53
C.EUR 84
D.EUR 525
答案
D
解析
Since the option is at-the-money, the delta is close to 0.5. VaR(99% of call) = 0.5×2200×10×2.33×2.05%=EUR 525由于期权是平价的，delta接近0.5。VaR(99% of call) = 0.5×2200×10×2.33×2.05%=EUR 525