= Problem 4. Use the variance-covariance method to estimate the daily VaR0.95 and ES0.95 for the portfolio with the following value at the period n=0,1 Vn = CBS(tn, Sh) + exp(-(1 tn)r) Sim Suppose that the exercise price of the call option is K 100, the current value of the stock Sl is Si = 110, the time to maturity is one year (250 days), the volatility is o = 0.2 and the interest rate is r = 0.02. The current value of the stock S2 is Sz = 80 and the daily log-return 0.1 1.5 X of (S1, S2) is assumed to follow N2 | 1.5 3 = ([02] [1 1) 2 = Problem 4. Use the variance-covariance method to estimate the daily VaR0.95 and ES0.95 for the portfolio with the following value at the period n=0,1 Vn = CBS(tn, Sh) + exp(-(1 tn)r) Sim Suppose that the exercise price of the call option is K 100, the current value of the stock Sl is Si = 110, the time to maturity is one year (250 days), the volatility is o = 0.2 and the interest rate is r = 0.02. The current value of the stock S2 is Sz = 80 and the daily log-return 0.1 1.5 X of (S1, S2) is assumed to follow N2 | 1.5 3 = ([02] [1 1) 2