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Question of the day
|Annual volatility: σ = 20.0%|
|Annual risk-free rate = 6.0%|
|Exercise price (X) = 24|
|Time to maturity = 3 months|
|Stock price, S||$21.00||$22.00||$23.00||$24.00||$24.75||$25.00|
|Value of call, C||$0.13||$0.32||$0.64||$1.14||$1.62||$1.80|
|% Decrease in S||−16.00%||−12.00%||−8.00%||−4.00%||−1.00%|
|% Decrease in C||−92.83%||−82.48%||−64.15%||−36.56%||−9.91%|
|Delta (ΔC% / ΔS%)||5.80||6.87||8.02||9.14||9.91|
Suppose that the stock price is currently at $25.00 and the 3-month call option with an exercise price of $24.00 is $1.60. Using
the linear derivative VAR method and the information in the above table, what is a 5% VAR for the call option's weekly return?
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