Iris2018-11-05 23:08:28

An investor is long a long-term ATM put option on an underlying portfolio of equities with a notional value of USD 100,000. If the 95% VaR of the underlying portfolio is 10.4%, which of the following statements about the VaR of the option position is correct when secord-order terms are considered? C. The VaR of the option position is slightly less than USD 5,200. First-order term=5200可以计算得出，但是这里是long put,为什么后面的secord-order term是负的呢？如果这题改成short put, Gamma是负的，是不是就会slightly more than 5200?