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Question
Use VaR techniques to determine the cost of insurance on a risky investment. The investment asset has a value of $150 and pays no dividend. The historical standard deviation of the asset is 20% and the expected return on the asset is 15%. At the 95% confidence level, what is the price of a put option that insures the asset over the next 6 months?A) $0.33
B) $1.25
C) $2.65
D) $6.56
Answer
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Related questions
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