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elf_fu elf_fu
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6 years ago
Harold owns 10,000 shares of IBM at $54.50 per share. He writes $55 strike covered call on all the shares. Assume   = 0.14, σ = 0.18, rf = 0.04, and the options expire in 90 days. What is the value at risk for 1 day, using the delta approximation at a 95% confidence level?
A) $4,717
B) $5,717
C) $6,717
D) $7,717
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Derivatives Markets

Derivatives Markets


Edition: 3rd
Author:
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phuongha2892phuongha2892
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6 years ago
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elf_fu Author
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#2
6 years ago
Thank you phuongha2892
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