一同学2018-10-17 22:47:26

An at-the-money European call option on the DJ EURO STOXX 50 index with a strike of 2200 and maturing in 1 year is trading at EUR 350, where contract value is determined by EUR 10 per index point. The risk-free rate is 3% per year, and the daily volatility of the index is 2.05%. If we assume that the expected return on the DJ EURO STOXX 50 is 0%, the 99% 1-day VaR of a short position on a single call option calculated using the delta-normal approach is closest to: 老师您好！在delta-normal方法中VaR(df)=|Δ|VaR(dS)中为什么这个S用的是执行价格？而不是标的资产价格S0?VaR的计算公式=zσP，P为什么不是市场价格而是执行价格？