Kelly owns 50,000 shares of Microsoft at $63.60 per share.She buys 20,000 $60 strike calls.Assume = 0.12,σ = 0.23,rf = 0.05,and the options expire in 170 days.What is the value at risk for 2 weeks,using the delta approximation at a 99% confidence level?
A) $311,463
B) $411,463
C) $511,463
D) $611,463

Question

Kelly owns 50,000 shares of Microsoft at $63.60 per share.She buys 20,000 $60 strike calls.Assume  = 0.12,σ = 0.23,rf = 0.05,and the options expire in 170 days.What is the value at risk for 2 weeks,using the delta approximation at a 99% confidence level?
A) $311,463 
B) $411,463 
C) $511,463 
D) $611,463

Quizplus · Accepted Answer

The Answer of Kelly owns 50,000 shares of Microsoft at $63.60 per share.She buys 20,000 $60 strike calls.Assume  = 0.12,σ = 0.23,rf = 0.05,and the options expire in 170 days.What is the value at risk for 2 weeks,using the delta approximation at a 99% confidence level?
A) $311,463 
B) $411,463 
C) $511,463 
D) $611,463

Kelly Owns 50,000 Shares of Microsoft at $63