Consider the risk of a long call on an asset with a notional amount of $1 million. The VaR of the underlying asset is 7.8%. If the option is a short-term at-the-money option, the VaR of the option position is slightly:
Consider the risk of a long call on an asset with a notional amount of $1 million. The VaR of the underlying asset is 7.8%. If the option is a short-term at-the-money option, the VaR of the option position is slightly: A.Less than $39,000 when second-order terms are considered.; B.More than $39,000 when second-order terms are considered.; C.Less than $78,000 when second-order terms are considered.; D.More than $78,000 when second-order terms are considered.