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Suppose a financial institution has written 50,000 European put options with strike price K=50 and maturity T=1 year and the current stock price is 80,

Suppose a financial institution has written 50,000 European put options with strike price K=50 and maturity T=1 year and the current stock price is 80, expected return =0.08 and volatility =0.50. What is the exact 10-day 99% VaR (in $000s)? (Assume the risk-free rate is zero, the current put price is $2.89)

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