What is the 1-year 99% var for each option separately

Reference no: EM131368522

1. Compute the 95% 10-day tail VaR for the position in Problem 26.8.

2. Suppose you write a 1-year cash-or-nothing put with a strike of $50 and a 1-year cash-or-nothing call with a strike of $215, both on stock A.

a. What is the 1-year 99% VaR for each option separately?

b. What is the 1-year 99% VaR for the two written options together?

c. What is the 1-year 99% tail VaR for each option separately and the two together?

Reference no: EM131368522

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