AN AT-THE-MONEY EUROPEAN CALL OPTION ON THE DJ EURO STOXX 50 INDEX...
12.
An at-the-money European call option on the DJ EURO STOXX 50 index with a strike of 2200 and maturing in
1 year is trading at EUR 350, where contract value is determined by EUR 10 per index point. The risk-free rate
is 3% per year, and the daily volatility of the index is 2.05%. If we assume that the expected return on the DJ
EURO STOXX 50 is 0%, the 99% 1-day VaR of a short position on a single call option calculated using the
delta-normal approach is closest to:
a.
EUR 8.
b.
EUR 53.
c.
EUR 84.
d.
EUR 525.