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Consider a portfolio which consists of options on Amazon and Apple. Suppose the options on Amazon have a delta of 1,750 and the options
Consider a portfolio which consists of options on Amazon and Apple. Suppose the options on Amazon have a delta of 1,750 and the options on Apple a delta of 5,500. The share price of Amazon is $1,642 and the share price of Apple is $216. The daily volatility of Amazon is 2%, the daily volatility of Apple is 1.5% and the correlation between the daily changes is 0.4. Estimate the five-day 99% Value at Risk (VaR) for the portfolio.
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Step: 1
To estimate the fiveday 99 VaR for the portfolio we need to follow these steps 1 Calculate the daily returns of Amazon and Apple using the daily volat...
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Microeconomics Theory and Applications with Calculus
Authors: Jeffrey M. Perloff
3rd edition
133019934, 978-0133019933
