
Explanation:
Calculation: VaR(99% of Call) = D × index price × conversion × alpha(99%) × 1-day volatility
Given:
VaR = 0.5 × 2200 × 10 × 2.33 × 0.0205 = 0.5 × 2200 × 10 × 2.33 × 0.0205 = 525 (approximately)
The solution states: "VaR(99% of Call) = D × index price × conversion × alpha (99%) × 1-day volatility = 0.5 × 2200 × 10 × 2.33 × 2.05% = EUR 525, with some slight difference in rounding." This confirms option D is correct.
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