NO.PZ2018122701000049
问题如下:
A portfolio consists of options on Microsoft and AT&T. The options on Microsoft have a delta of 1000, and the options on AT&T have a delta of 20000. The Microsoft share price is $120, and the AT&T share price is $30. Assuming that the daily volatility of Microsoft is 2% and the daily volatility of AT&T is 1% and the correlation between the daily changes is 0.3, the 5-day 95% VaR is
选项:
A.26193
B.25193
C.27193
D.24193
解释:
A is correct.
考点:Mapping to Option Position
解析:VaRMic= 1.65 × 2% × 120 × 1000 = 3960
VaRAT&T= 1.65 × 1% × 30 × 20000=9900
VaRMic= 1.65 × 2% × 120 × 1000 = 3960
VaRAT&T= 1.65 × 1% × 30 × 20000=9900
这两步看懂了,但我理解的是说这里我们求的是这两只股票的option的VaR,对吧?
VAR_{P(5-day,95\%)}=\sqrt{3960^2+9900^2+2\times0.3\times3960\times9900}\times\sqrt5=26193
那这里怎么能用股票之间的correlation代替option之间的correlation捏?
一脸懵逼.jpg(我可能是一级太久以前了。。。难道这是一级必备知识点0.0)