A bank has written a call option on one stock and a put, Ask an Expert

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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 31, the strike price is 25, the volatility is 44% per annum, and the time to maturity is six months. For the second option, the stock price is 9, the strike price is 12, the volatility is 21% per annum, and the time to maturity is 9 months. Neither stock pays a dividend, the risk-free rate is 5% per annum, and the correlation between stock price returns is 0.55. Calculate a 10-day 99% VaR using DerivaGem and the linear model.

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Financial Management, Finance

Category:- Financial Management
Reference No.:- M93052707

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