2.25 【每日一练】 1：A trader has an option position in crude oil with a delta of 100000 barrels and gamma of -50000 barrels per dollar move in price. Using the delta-gamma methodology, compute the VaR on this position, assuming the extreme move on crude oil is $2.00 per barrel. A：$100,000 B：$200,000 C：$300,000 D：$400,000 2.25【每日一练】答案 **C is correct.** 考点:：Mapping to Option Position 解析: VAR(df)=∆×VAR(ds)+1/2Γ×VAR(ds)2 VAR(df)=100000×(-2)+1/2×(-50000)×(-2)2 =-$300000
