Answer: EUR 575

**Calculation:** VaR(99% of Call) = D × index price × conversion × alpha(99%) × 1-day volatility Given: - D (delta) = 0.5 - Index price = 2200 - Conversion factor = 10 - Alpha(99%) = 2.33 - 1-day volatility = 2.05% 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.

Author: LeetQuiz Editorial Team