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elf_fu elf_fu
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6 years ago
Kelly owns 50,000 shares of Microsoft at $63.60 per share. She buys 20,000 $60 strike calls. Assume   = 0.12, σ = 0.23, rf = 0.05, and the options expire in 170 days. What is the value at risk for 2 weeks, using the delta approximation at a 99% confidence level?
A) $311,463
B) $411,463
C) $511,463
D) $611,463
Textbook 
Derivatives Markets

Derivatives Markets


Edition: 3rd
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phuongha2892phuongha2892
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#1
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6 years ago
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elf_fu Author
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6 years ago
Thanks for your help!!
smdavis
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Yesterday
Brilliant ツ
jamiebonf99
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2 hours ago
Good timing, thanks!
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