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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Definitions:

True Statements

Assertions or claims that accurately reflect reality or are in accordance with facts.

Tautology

A redundant or repetitive statement in which the conclusion is identical to its premise in meaning.

Logic of Statements

The branch of logic that deals with the relationships between statements, including their validity and truth values.

Disjunction

A logical operation that combines two or more statements in such a way that the resulting statement is true if at least one of the original statements is true.