Which of the Following Is True When Delta,but Not Gamma,is

question 10

Multiple Choice

Which of the following is true when delta,but not gamma,is used in calculating VaR for option positions?

• A) VaR for a long call is too low and VaR for a long put is too low
• B) VaR for a long call is too low and VaR for a long put is too high
• C) VaR for a long call is too high and VaR for a long put is too low
• D) VaR for a long call is too high and VaR for a long put is too high

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