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You want to limit your 1% VaR to $100,000. How much can you own of an asset with 40% annualized volatility and Normal returns? Options
You want to limit your 1% VaR to $100,000. How much can you own of an asset with 40% annualized volatility and Normal returns?
| Options |
| A | $1,703,273 |
| B | $5,871 |
| C | $93,200 |
| D | $107,296 |
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Fundamentals Of Futures And Options Market
Authors: John C. Hull
6th Edition
0132242265, 9780132242264
