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×
如题,比如VaR本身代表损失含义,所以VaR(dy)可以看作2,不用带负号,所以delta*VaR(dy)就代表一阶项带来的损失。
但是后面的二阶gamma项按说不是应该起到缓冲作用的么,那不就应该和一阶项方向相反么?还是说这题的gamma和讲义里的gamma情况不一样?
请帮忙捋一捋思路,谢谢!