Consider portfolio of options on single asset

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1- Consider a position consisting of a $300,000 investment in gold and a $500,000 investment in silver. Suppose that the daily volatilities of these two assets are 1.8% and 1.2% respectively, and that the coefficient of correlation between their returns is 0.6. What is the 10-day 97.5% VaR for the portfolio? By how much does diversification reduce the VaR?

2- Consider a portfolio of options on a single asset. Suppose that the delta of the portfolio is 12, the value of the asset is $10, and the daily volatility of the asset is 2%. Estimate the one-day 95% VaR for the portfolio from the delta.

Reference no: EM131577796

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