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小熊猫 · 2025年05月08日

关于本题的b和d的选项

NO.PZ2023100703000051

问题如下:

Marigos Bank uses Delta-normal VaR to measure the risk of one of its derivative portfolios. Which of the following is the assumption of Marigos Bank?

选项:

A.It assumes that the correlation of options in the portfolio is already known. B.It assumes that the options in the portfolio are close to expiration. C.It assumes that the deltas of the options in the portfolio are stable. D.It assumes that the options in the portfolio are almost at the money.

解释:

The Delta-normal VaR method, also known simply as the Delta method, uses the option's delta (the first derivative) to approximate the changes in the value of the portfolio. The main assumptions when employing this method include:

1.The variations in the portfolio's value can be approximated by the changes in the underlying asset's value multiplied by the delta of the option.

2.The returns on the underlying asset are normally distributed.

A critical premise when using the Delta method is the stability of the deltas. If deltas were to frequently and significantly change, relying solely on delta for risk estimation could lead to inaccurate VaR calculations. Thus, for the Delta-normal VaR approach to be effective, Marigos Bank must assume that the deltas of the options in the portfolio are stable

option在close to expiration和at the money的时候 delta是怎么变化的?是stable的吗?

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