medium · FRM Part 1 Valuation and Risk Models
A portfolio has a Δ of 0 and a Γ of -200. If the daily volatility of the underlying is σ = 1%, and the current price is $100, calculate the 95% one-day VaR (z = 1.645) using the delta-gamma approximation.
- $32.90
- $16.45
- $27.06
- $0
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