问题如下图：
选项：
A. 
B. 
C. 
D. 
解释：
能把quadratic VAR解释一下吗？
NO.PZ2016082404000039问题如下 investor is long a short-term at-the-money put option on unrlying portfolio of equities with a notionvalue of US100,000. If the 95% Vof the unrlying portfolio is 10.4%, whiof the following statements about the Vof the option position is correwhen seconorr terms are consire The Vof the option position is slightly more thUS5,200. The Vof the option position is slightly more thUS10,400. The Vof the option position is slightly less thUS5,200. The Vof the option position is slightly less thUS10,400. ANSWER: CThe lta must aroun0.5, whiimplies a lineVof $100,000×10.4%×0.5=$5,200.\$100,000\times10.4\%\times0.5=\$5,200.$100,000×10.4%×0.5=$5,200.The position is long option anhpositive gamma result, the quaatic Vmust lower th$5,200.解析有一个投资者买了一个ATM的put option，基础资产是一个股票组合，金额为100000美元。如果基础资产95%VaR是10.4%，请问下面关于这个option考虑到非线性关系的VaR正确的是哪一个？ATM put的lta=0.5线性关系的option的VaR=S*lta*VaR=100,000*0.5*10.4%=5200考虑到二次关系的VaR是在线性关系的基础上减去一个数值，所以会低于5200. 二次关系是什么关系哪里的知识点娃
NO.PZ2016082404000039问题如下 investor is long a short-term at-the-money put option on unrlying portfolio of equities with a notionvalue of US100,000. If the 95% Vof the unrlying portfolio is 10.4%, whiof the following statements about the Vof the option position is correwhen seconorr terms are consire The Vof the option position is slightly more thUS5,200. The Vof the option position is slightly more thUS10,400. The Vof the option position is slightly less thUS5,200. The Vof the option position is slightly less thUS10,400. ANSWER: CThe lta must aroun0.5, whiimplies a lineVof $100,000×10.4%×0.5=$5,200.\$100,000\times10.4\%\times0.5=\$5,200.$100,000×10.4%×0.5=$5,200.The position is long option anhpositive gamma result, the quaatic Vmust lower th$5,200.解析有一个投资者买了一个ATM的put option，基础资产是一个股票组合，金额为100000美元。如果基础资产95%VaR是10.4%，请问下面关于这个option考虑到非线性关系的VaR正确的是哪一个？ATM put的lta=0.5线性关系的option的VaR=S*lta*VaR=100,000*0.5*10.4%=5200考虑到二次关系的VaR是在线性关系的基础上减去一个数值，所以会低于5200. var组合=lta✖️var标的资产10.4=0.5*varoption所以不是10.4/0.5吗
NO.PZ2016082404000039 investor is long a short-term at-the-money put option on unrlying portfolio of equities with a notionvalue of US100,000. If the 95% Vof the unrlying portfolio is 10.4%, whiof the following statements about the Vof the option position is correwhen seconorr terms are consire The Vof the option position is slightly more thUS5,200. The Vof the option position is slightly more thUS10,400. The Vof the option position is slightly less thUS5,200. The Vof the option position is slightly less thUS10,400. ANSWER: C The lta must aroun0.5, whiimplies a lineVof $100,000×10.4%×0.5=$5,200.\$100,000\times10.4\%\times0.5=\$5,200.$100,000×10.4%×0.5=$5,200.The position is long option anhpositive gamma result, the quaatic Vmust lower th$5,200. 题目中说If the 95% Vof the unrlying portfolio is 10.4%，是指底层股票的VAR=10.4%么？
investor is long a short-term at-the-money put option on unrlying portfolio of equities with a notionvalue of US100,000. If the 95% Vof the unrlying portfolio is 10.4%, whiof the following statements about the Vof the option position is correwhen seconorr terms are consire The Vof the option position is slightly more thUS5,200. The Vof the option position is slightly more thUS10,400. The Vof the option position is slightly less thUS5,200. The Vof the option position is slightly less thUS10,400. ANSWER: C The lta must aroun0.5, whiimplies a lineVof $$\(\$100,000\times10.4\%\times0.5=\$5,200.\)$$The position is long option anhpositive gamma result, the quaatic Vmust lower th$5,200. 为什么不用乘上Z value?
