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×
看到有其他的同学也有这个问题, 但是好像么有解答,就再提一遍啦。
delta*△underlying+1/2*gamma*(△underlying的平方)这个公式的是+gamma,但是讲义里面的是-gamma
之前助教说说讲义里是收益公式,但这里是损失。但是讲义上也是计算VaR的呀