Estimate the one-day 95 var for the portfolio from the


Consider a portfolio of options on a single asset. Suppose that the delta of the porfolio 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.

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Finance Basics: Estimate the one-day 95 var for the portfolio from the
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