NO.PZ2018122701000050
问题如下:
A trader has an option position in crude oil with a delta of 100000 barrels and gamma of -50000 barrels per dollar move in price. Using the delta-gamma methodology, compute the VaR on this position, assuming the extreme move on crude oil is $2.00 per barrel.
选项:
A.
$100,000
B.
$200,000
C.
$300,000
D.
$400,000
解释:
C is correct.
考点:Mapping to Option Position
解析:
VAR(df)=∆×VAR(ds)+1/2Γ×VAR(ds)2
VAR(df)=100000×(-2)+1/2×
请问此题石油价格变动的VaR是什么?计算公式到底是加号还是减号呢?十分糊涂,不明白为何变来变去,谢谢。理论不明白。