Ch.6 Analytical VaR for Stocks and Bonds Flashcards
1
Q
What is an option.
A
An option gives you the right to buy or sell an asset at a given price at a fixed expiry date.
2
Q
What are a call and a put option?
A
Call: An option that grants the right to buy the underlying asset.
Put: An option that grants the right to sell the underlying asset.
3
Q
What is Delta w.r.t options?
A
It is the first-order sensitivity of an option to a change in the price of the underlying asset.
4
Q
What is Gamma w.r.t options?
A
It is the second-order sensitivity of an option to a change in the price of the underlying asset.
5
Q
What is the approximate VaR formula for options, assuming Normal returns?
A
