一同學(xué)
2018-10-17 22:47An at-the-money European call option on the DJ EURO STOXX 50 index with a strike of 2200 and maturing in 1 year is trading at EUR 350, where contract value is determined by EUR 10 per index point. The risk-free rate is 3% per year, and the daily volatility of the index is 2.05%. If we assume that the expected return on the DJ EURO STOXX 50 is 0%, the 99% 1-day VaR of a short position on a single call option calculated using the delta-normal approach is closest to: 老師您好！在delta-normal方法中VaR(df)=|Δ|VaR(dS)中為什么這個(gè)S用的是執(zhí)行價(jià)格？而不是標(biāo)的資產(chǎn)價(jià)格S0?VaR的計(jì)算公式=zσP，P為什么不是市場(chǎng)價(jià)格而是執(zhí)行價(jià)格？
所屬：FRM Part I 視頻位置 相關(guān)試題
來(lái)源： 視頻位置 相關(guān)試題
1個(gè)回答
Wendy助教
2018-10-18 09:13
該回答已被題主采納
同學(xué)你好
因?yàn)檫@個(gè)題目中沒(méi)說(shuō)s是多少，但是知道at-the-money European call，也就是s和k很接近，k=2200*10，所以用k做個(gè)近似
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