<估值與風(fēng)險(xiǎn)模型>FRM一級(jí)每日練習(xí)題
A manager bought 1,000 call options on a non-dividend-paying stock, with a strike price of USD 100, for USD 6 each. The current stock price is USD 104 with a daily stock return volatility of 1.89%, and the delta of the option is 0.6. Given the delta-normal approach to calculate VaR, which of the choices below is an approximation of the 1-day 95% VaR of this position?
A. USD 112
B. USD 1,946
C. USD 3,243
D. USD 5,406
Answer: B
95% VaR1-day of the underlying = 104×1.65×1.89% = 3.24
95% VaR1-day of the option = 1000×0.6×3.24 = 1,946
