Q-77. A call option has delta = 0.5, index price = 2200, conversion factor = 10, alpha(99%) = 2.33, and 1-day volatility = 2.05%. What is the 99% VaR of the call option in EUR? | Financial Risk Manager Part 1 Quiz - LeetQuiz
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Q-77. A call option has delta = 0.5, index price = 2200, conversion factor = 10, alpha(99%) = 2.33, and 1-day volatility = 2.05%. What is the 99% VaR of the call option in EUR?
