NO.PZ2023100703000060
问题如下：
A portfolio consists of options on Microsoft and AT&T. The options on Microsoft have a delta of 1000, and the options on AT&T have a delta of 20000. The Microsoft share price is $120, and the AT&T share price is $30. Assuming that the daily volatility of Microsoft is 2% and the daily volatility of AT&T is 1% and the correlation between the daily changes is 0.3, the 5-day 95% VaR is选项：
A.26193 B.25193 C.27193 D.24193解释：
VaRMic= 1.65 × 2% × 120 × 1000 = 3960 VaRAT&T= 1.65 × 1% × 30 × 20000=9900
如标题。
