Question
A portfolio manager bought 1,000 call options on a non-dividend-paying stock, with a strike price of USD 100, for $6 each. The current stock price
A portfolio manager bought 1,000 call options on a non-dividend-paying stock, with a strike price of USD 100, for $6 each. The current stock price is $104 with a daily stock return volatility of 1.89%, and the delta of the option is 0.6. Using the delta-normal approach to calculate VaR, what is an approximation of the 1-day 95% VaR of this position?
- USD 112
- USD 1,946
- USD 3,243
- USD 5,406
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Finance And Strategy Inside China
Authors: Check-Teck Foo
1st Edition
9811328404,9811328412
