Iris
2018-11-05 23:08An investor is long a long-term ATM put option on an underlying portfolio of equities with a notional value of USD 100,000. If the 95% VaR of the underlying portfolio is 10.4%, which of the following statements about the VaR of the option position is correct when secord-order terms are considered? C. The VaR of the option position is slightly less than USD 5,200. First-order term=5200可以計(jì)算得出，但是這里是long put,為什么后面的secord-order term是負(fù)的呢？如果這題改成short put, Gamma是負(fù)的，是不是就會(huì)slightly more than 5200?
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
Wendy助教
2018-11-06 11:52
該回答已被題主采納
同學(xué)你好，delta-gamma中計(jì)算VaR值，后面一項(xiàng)是減去1/2*gamma*VaR（ds），而這里是long 一個(gè)put，它的gamma是大于零的，。所以綜合來看是減去
如果這個(gè)題目改成short一個(gè)option的話，后面這一項(xiàng)就變成了正的，因?yàn)閟hort option的gamma是負(fù)的。
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