问题如下:
Delta-normal VaR will provide accurate estimates for option contracts when:
选项:
A.deltas are stable.
B.options are at-the-money.
C.the correlation matrix is available.
D.the delta-normal method can never be used for option contracts.
解释:
Delta-normal VaR methods will provide accurate estimates of VaR for options only over those ranges in which the deltas of the contracts are stable. Deltas are normally unstable near the money and close to expiration.
请问为什么不选C?