Maurice Tutor

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    Argosy University/ Phoniex University/
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Category > Management Posted 08 Jan 2018 My Price 4.00

VaR using DerivaGem

A bank has written a call option on one stock and a put option on another stock. For the first option the stock price is 50, the strike price is 51, the volatility is 28% per annum, and the time to maturity is nine months. For the second option the stock price is 20, the strike price is 19, the volatility is 25% per annum, and the time to maturity is one year. Neither stock pays a dividend, the risk-free rate is 6% per annum, and the correlation between stock price returns is 0.4. Calculate a 10-day 99% VaR using DerivaGem and the linear model.

 

 

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Maurice Tutor
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Status NEW Posted 08 Jan 2018 02:01 PM My Price 4.00

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