计算结果不对吧

问题如下：

A mutual fund manager is stress testing a portfolio to simulate large outflows from the fund. In the simulation, the manager assumes a liquidation of 50,000 shares of a company with a share price of USD20.The daily return of this position is lognormally distributed with an estimated mean of 0.0% and volatility of 1.0%, and the average bid-ask spread of this position is USD 0.80. Using the constant spread approach, what is the best estimate of the 1-day 95% liquidity-adjusted VaR of this position? (Important)

选项：

A.

USD26,500

B.

USD36,300

C.

USD43,100

D.

USD56,500

解释：