Question
Consider a portfolio of options on a single asset. Suppose that the delta of the porfolio is 12, the value of the asset is $10,
Consider a portfolio of options on a single asset. Suppose that the delta of the porfolio is 12, the value of the asset is $10, and the daily volatility of the asset is 2%. Estimate the one-day 95% VaR for the portfolio from the delta.
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Fundamentals of Investments, Valuation and Management
Authors: Bradford Jordan, Thomas Miller, Steve Dolvin
8th edition
1259720697, 1259720691, 1260109437, 9781260109436, 978-1259720697
