A single stock has a price of USD 10 and a current daily volatility of 2%. Using the deltanormal method, the VaR at the 95% confidence level of a long at-the-money call on this stock over a one-day holding period is approximately:
A single stock has a price of USD 10 and a current daily volatility of 2%. Using the deltanormal method, the VaR at the 95% confidence level of a long at-the-money call on this stock over a one-day holding period is approximately: A.USD 1.645; B.USD 0.16; C.USD 0.33; D.USD 0.23