The relationship between a three month call option and its underlying stock are presented in the following table.
|
Volatility: σ = 15.0%
Risk-free rate = 6.0%
Exercise price (X) = 24
Time to maturity = 3 months
S = $25.00
C = $1.60
|
|
Stock Price, S |
$21.00 |
$22.00 |
$23.00 |
$24.00 |
$24.75 |
$25.00 |
|
Value of Call, C |
$0.04 |
$0.15 |
$0.42 |
$0.91 |
$1.41 |
$1.60 |
|
Percentage Decrease in S |
–16.00% |
–12.00% |
–8.00% |
–4.00% |
–1.00% |
|
|
Percentage Decrease in C |
–97.46% |
–90.39% |
–73.55% |
–43.37% |
–11.92% |
|
|
Delta (ΔC%/ΔS%) |
6.09 |
7.53 |
9.19 |
10.84 |
11.92 |
|
Using the linear derivative VAR method and the information in the above table, what is a five percent VAR for the call option’s weekly return?
A. 40.9%.
B. 10.8%.
C. 15.8%.
D. 21.3%.
|
. The 5 percent VAR for the stock price is equivalent to a one standard deviation move, or 1.65 for the normal curve. The 5 percent VAR of the underlying stock is 0 – 2.08%(1.65)= –3.432%. A one percent change in the stock price results in a 11.92 percent change in the call option value, therefore, the delta = 0.1192/0.01 = 11.92. For small moves, delta can be used to estimate the change in the derivative given the VAR for the underlying asset as follows: VAR<sub>Call</sub> = ΔVAR<sub>Stock</sub> =11.92(3.432%) = 0.409 or 40.9%. In words, the 5 percent VAR implies there is a 5 percent probability that the call option value will decline by 40.9% or more. </span></p></div></div></td></tr>
</table>
</div>
</li>
<li><em>统 计：</em>共计<span class=)
0人答过，平均正确率
