1.You have been asked to estimate the VaR of an investment in Big Pharma Inc.,the company’s stock is trading at USD 23,and the stock has a daily volatility of 1.5%.
Using the deltanormal method,the VaR at the 95%confidence level of a long position in an at-the-money put on this stock with a delta of-0.5 over a 1-day holding period is closest to which of the following choices?
A.USD 0.28
B.USD 0.40
C.USD 0.57
D.USD 2.84
Answer:A
Explanation:
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