24. A positive gamma portfolio tends to have a ( ) left tail than the normal distribution. If the distribution of AP is normal, the calculated VaR tends to be( ). I heavier A. I, III II less heavy B. II, III III too high C.II, IV IV too low 25.Consider a portfolio consisting only of stock Alpha. Stock Alpha has a market value of $635,000 and an annualized volatility of 20%. Calculate the VaR assuming normally distributed returns with a 99% confidence (N (0.01) = -2.326) interval for a 10-day holding period and 252 business days in a year. The daily return is assumed to be zero. ( ) A. $56,225 B.$69,420 C.$82,525 26. What is the lower pricing bound for a European call option with a strike price of 80 and one year until expiration? The price of the underlying asset is 90, and the 1-year interest rate is 5% per annum. Assume continuous compounding of interest. ( ) A.13.9 B.10.00 C.5.90