题目
The delta-normal method applied to a long call option position could be a reasonably accurate approach for calculating the VaR if the option is:
选项
A.at the money
B.deep in the money
C.deep out of the money
D.close to expiry
答案
B
解析
The value of deep in the money options is predominantly determined by its delta.货币期权的深层价值主要取决于其增量。