Fair2019-02-17 00:24:43

01.单选题 收藏 标记 纠错 Bank A and Bank B are two competing investment banks that are calculating the 1-day 99% VaR for an at-the-money call on a non-dividend-paying stock with the following information: Current stock price: USD 120 Estimated annual stock return volatility: 18% Current Black-Scholes-Merton option value: USD 5.20 Option delta: 0.6 To compute VaR, Bank A uses the linear approximation method, while Bank B uses a Monte Carlo simulation method for full revaluation. Which bank will estimate a higher value for the 1-day 99% VaR? Bank A 这一题完全不明白，可否在解释一下？