Question-4 [12 Points]: A stock with a price of 60 and annual volatility of 0.4 has a call option with a delta of 0.5 and gamma of 0.2 and a put with delta of -0.5 and gamma of 0.1. a) (5 Points) Based on the linear model, what is 10-day 99% VaR for the portfolio of 1000 stocks, short 200 call options, and long 100 put options? b) (7 Points) Based on the quadratic model and ignoring the non-normality of the distribution what is an the 10-day 99% VaR for the portfolio discussed in (a)? Is the distribution skewed to the right or to the left? Question-4 [12 Points]: A stock with a price of 60 and annual volatility of 0.4 has a call option with a delta of 0.5 and gamma of 0.2 and a put with delta of -0.5 and gamma of 0.1. a) (5 Points) Based on the linear model, what is 10-day 99% VaR for the portfolio of 1000 stocks, short 200 call options, and long 100 put options? b) (7 Points) Based on the quadratic model and ignoring the non-normality of the distribution what is an the 10-day 99% VaR for the portfolio discussed in (a)? Is the distribution skewed to the right or to the left