A bank has written a European call option on one stock and a European put option on another stock. For the first option, the stock price is 50, the strike price is 51, the volatility is 28% per annum, and the time to maturity is nine months. For the second option, the stock price is 20, the strike price is 19, the volatility is 25% per annum, and the time to maturity is one year. Neither stock pays a dividend, the risk-free rate is 6% per annum, and the correlation between stock price returns is 0.4. Calculate a 10-day 99% VaR by using Monte-Carlo simulations in excel. show all excel steps and functions!!
A bank has written a European call option on one stock and a European put option on another stock. For the first option, the stock price is 50, the strike price is 51, the volatility is 28% per annum, and the time to maturity is nine months. For the second option, the stock price is 20, the strike price is 19, the volatility is 25% per annum, and the time to maturity is one year. Neither stock pays a dividend, the risk-free rate is 6% per annum, and the correlation between stock price returns is 0.4. Calculate a 10-day 99% VaR by using Monte-Carlo simulations in excel. show all excel steps and functions!!
Essentials Of Investments
11th Edition
ISBN:9781260013924
Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Chapter1: Investments: Background And Issues
Section: Chapter Questions
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Transcribed Image Text:A bank has written a European call option on one stock
and a European put option on another stock. For the
first option, the stock price is 50, the strike price is 51,
the volatility is 28% per annum, and the time to maturity
is nine months. For the second option, the stock price is
20, the strike price is 19, the volatility is 25% per annum,
and the time to maturity is one year. Neither stock pays
a dividend, the risk-free rate is 6% per annum, and the
correlation between stock price returns is 0.4. Calculate
a 10-day 99% VaR by using Monte-Carlo simulations in
excel. show all excel steps and functions!!
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