【FRM每日一题】一级：估值与风险模型
备考FRM一级 | 2015-08-13
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
.png){kind=small}
相关标签 FRM一级
