# 求助 - 在险价值 (VaR) 计算（紧迫！）-经管之家官网！

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a）计算10天的99％，投资组合的在险价值(VaR)。
b）假设我们添加一看涨期权（call option）到投资组合，其标的资产（underlying asset)爲1000万股A股,期权执行价格为85元，到期（maturity)是六个月。无风险利率为5％。计算投资组合的10天99％的在险价值(VaR)。

A portfolio consists of 1,000 shares of A stock, and 2,000 of B stock. Current prices of A and B are \$ 83 and \$110respectively. Suppose that the percentage changes of A and B for the next ten days are normally distributed, with means 3% and 2%, and standard deviations 5% and 7% respectively. Let the correlation between A and B be 0.7.
a) Calculate the ten-day 99% Value-at-Risk (VaR) of the portfolio.
b) Suppose further that we add to the portfolio a call option underlying 1,000 shares of A stock with strike price being \$85, maturity being six months. Let the risk-free interest rate be 5%. Calculate the ten-day 99% VaR of the portfolio.
Please provide a direct solution (with steps)
Thank you!!
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