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.