Suppose you write a 1-year cash-or-nothing put with a strike of $50 and a 1-year cash-or-nothing call

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Suppose you write a 1-year cash-or-nothing put with a strike of $50 and a 1-year cash-or-nothing call with a strike of $215, both on stock A.

a. What is the 1-year 99% VaR for each option separately?

b. What is the 1-year 99% VaR for the two written options together?

c. What is the 1-year 99% tail VaR for each option separately and the two together?

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Derivatives Markets

ISBN: 9789332536746

3rd Edition

Authors: Robert McDonald

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Question Posted: Aug 12, 2015 03:01 AM

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Suppose you write a 1-year cash-or-nothing put with a strike of $50 and a 1-year cash-or-nothing call

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The oneyear cash or nothing 50strike put has a premium of 0007024 The cash or nothing 215strike call ...View the full answer

Derivatives Markets

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