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What is the option VaR over the next two weeks

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Question - Suppose that an investor long a call option on a stock index futures contract. Each option gives the right to purchase one unit of the index, which is priced at S = $400. The delta is 0.569, and the gamma is 0.010. If the volatility of the rate of return on the index is 30%, what is the option's VaR over the next two weeks at 95% confidence level?

Reference no: EM133053720

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