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A bank has a call option on one stock and a put option on the same stock. The stock price is $50, volatility is 28%
A bank has a call option on one stock and a put option on the same stock. The stock price is $50, volatility is 28% per annum. For the call option, the strike price of the first option is $50, and the time to maturity is 9 months. For the put option, the strike price is $19, and the maturity is one year. The interest rate is 5% per annum and the stock does not pay a dividend. Calculate 10-day 99% VaR of this portfolio by using deltas.
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