题目
If you use Delta VaR for a portfolio of options, which of the following statements is always correct?
选项
A.It necessarily understates the VaR because it uses a linear approximation.
B.It can sometimes overstate the VaR.
C.It performs most poorly for a portfolio of deep-in-the money options.
D.It performs most poorly for a portfolio of deep-out-of-the money options.
答案
B
解析
The correct answer is B. Using Delta VaR for a portfolio of options neglect the effect of Gamma. Gamma will be either positive or negative; as a result, without considering the effect of Gamma, VaR can be either overstated or understated. Moreover, gamma is largest for at-the-money options. In another word, Delta VaR performs most poorly for a portfolio of at-the-money options.正确答案是B。将Delta VaR用于选项组合会忽略Gamma的影响。 gamma将为正或负； 结果，在不考虑gamma效应的情况下，VaR可能被高估或被低估。 此外，gamma在平价选择中最大。 换句话说，Delta VaR在平价期权组合中的表现最差。