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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 $80 and pays no dividend. The historical standard deviation of the asset is 15% and the expected return on the asset is 8%. At the 95% confidence level, what is the price of a put option that insures the asset over the next year?A) $2.56
B) $1.25
C) $0.86
D) $0.15
Answer
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Related questions
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