题目
Bank A and Bank B are two competing investment banks that are calculating the 1-day 99% VaR for an at-the-money call on a non-dividend-paying stock with the following information: Current stock price: USD 120 Estimated annual stock return volatility: 18% Current Black-Scholes-Merton option value: USD 5.20 Option delta: 0.6 To compute VaR, Bank A uses the linear approximation method, while Bank B uses a Monte Carlo simulation method for full revaluation. Which bank will estimate a higher value for the 1-day 99% VaR?
选项
A.Bank A.
B.Bank B.
C.Both will have the same VaR estimate.
D.Insufficient information to determine.
答案
A
解析
The VaR will always be higher under the linear approximation method than a full revaluation conducted by Monte Carlo simulation analysis.线性差值方法下的VaR总是比蒙特卡洛模拟分析的完全重估要高。