姜同學(xué)
2018-10-28 12:21An 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: 請(qǐng)老師解釋題目解析當(dāng)中的方法1
所屬：FRM Part I 視頻位置 相關(guān)試題
來源： 視頻位置 相關(guān)試題
1個(gè)回答
Cindy助教
2018-10-29 10:49
該回答已被題主采納
同學(xué)你好，這道題讓你算期權(quán)的VAR，只需要將標(biāo)的資產(chǎn)的VAR算出來乘以delta就好，因?yàn)槭莂t the money,所以期權(quán)delta是0.5，標(biāo)的資產(chǎn)是一個(gè)指數(shù)，一個(gè)點(diǎn)是10元，2200點(diǎn)就是22000元，根據(jù)公式，標(biāo)的資產(chǎn)的VAR值等于2.33*2.05%*22000，再乘上期權(quán)的delta0.5就可以算出期權(quán)的VAR是525了
答案解析太過于復(fù)雜，不用看了
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