2. Assume a portfolio that consists of a short position of one in each of the option contracts. Calculate the 10-day, 1% dollar VaRs using the delta-based and the gamma-based models. Assume a normal distribution with the variance as in question 1. Use MC = 5000 simulated returns for the 10-trading-day return.

Compare the simulated quadratic VaR with the one using the Cornish-Fisher expansion formula.