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Question
Kelly owns 50,000 shares of Microsoft at $63.60 per share. She buys 20,000 $60 strike calls. Assume
= 0.12, σ = 0.23, rf = 0.05, and the options expire in 170 days. What is the value at risk for 2 weeks, using the delta approximation at a 99% confidence level?A) $311,463
B) $411,463
C) $511,463
D) $611,463
Answer
This answer is hidden. It contains 1 characters.
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