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×
1.extreme-move是2,为什么不能是正2,要写负2呢
2.讲义的公式,gamma那里不是减的吗,为什么这里变成了加gamma。
3.题目说有一个option头寸,那我们怎么判断用long还是short去做呢
4.这个对于option的delta-gamma计算在哪一章有详细讲吗