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Home Q & A Board Science-Related Homework Help Health, Nutrition, and Food Sciences
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Thierryp Thierryp
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7 years ago
Matt owns 5,000 share of Matrix at $52.50. To arbitrage this he shorts 5,000 calls and longs 5,000 puts at a strike of $50.00. Assume   = 0.16, σ = 0.30, rf = 0.06, and the options expire in 170 days. What is the value at risk for 1 week at a 95% confidence level?
A) $0
B) $16,433
C) $18,433
D) $20,433
Textbook 
Choosing Health

Choosing Health


Edition: 2nd
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Sooner or later, those who win are those who think they can.
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rtwingfieldrtwingfield
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7 years ago
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Thierryp Author
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#2
7 years ago
Thanks once again
Sooner or later, those who win are those who think they can.
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