题目
You have been asked to estimate the VaR of an investment in Big Pharma Inc. The company’s stock is trading at USD 23 and the stock has a daily volatility of 1.5%. Using the delta-normal method, the VaR at the 95% confidence level of a long position in an at-the-money put on this stock with a delta of -0.5 over a 1-day holding period is closest to which of the following choices?
选项
A.USD 0.28
B.USD 0.40
C.USD 0.57
D.USD 2.84
答案
A
解析
「huixue_img/importSubject/1564170388416630784.png」