Suppose an investor is long one call and five put options on the same stock of S - 100 and the strike price of K = 100. If the stock's (annual) volatility is 20%, the interest rate is 5%, the time to maturity is one year, and the stock pays no dividend, what is the 5% daily Delta VaR of the portfolio? Use 3 decimal places for your answer.

Suppose an investor is long one call and five put options on the same stock of S - 100 and the strike price of K = 100. If the stock's (annual) volatility is 20%, the interest rate is 5%, the time to maturity is one year, and the stock pays no dividend, what is the 5% daily Delta VaR of the portfolio? Use 3 decimal places for your answer.

Intermediate Financial Management (MindTap Course List)

13th Edition

ISBN:9781337395083

Author:Eugene F. Brigham, Phillip R. Daves

Publisher:Eugene F. Brigham, Phillip R. Daves

Chapter5: Financial Options

Section: Chapter Questions

Problem 4MC

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need correct answer. absuletly upvote!!
QUESTION 3 Suppose you are attempting to value a one-year maturity option on a stock with volatility of 20% What would be the appropriate value for the down factor (d) if your binomial model is set up using 4 sub-periods (quarterly)? 0.946 O 0.869 0.942 0.827
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