2.  

Suppose an investor is long one call and ten put options on the same stock each with a strike price of 90. The rest of the data is given as follows: S-100,0-0.198,R-0.0995,q-0,T-1, and the interest rate, volatility, and the dividend rates are all given as annual values. Assuming that the average daily change in the option value is approximately zero, what is the daily dollar Delta-VaR at 5% ? (Use the attached Excel spreadsheet to calculate the value of the options and the deltas. Use 4 decimal figures for your answer.)