A portfolio has w1 shares of a stock (S1), w2 shares of a call option (f1) on the same stock, and w3 shares of a put option (f2) on a second stock (S2). The current time is t. Let >0 be the correlation coefficient between the two stocks. Let i,i=1,2, be the delta values of the two options. Derive an expression for the one-day 99%VaR of the portfolio, given 1 and 2 are the one-day volatility of the two stocks