today - Let X = VaR(alpha,n) F(VaR(alpha,(1-Gamma(A4)) *...

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So K1 K2 mean sd T 1000 1200 800 0.12 0.35 0.1 A1 = (ln(800/1000)-(0.12-0.35^2/2)*0.1)/(0.35*sqrt(0.1)) = -2.07 A2 = (ln(1200/1000)-(0.12-0.35^2/2)*0.1)/(0.35*sqrt(0.1)) = 1.59 Probability A1 and A2 with N(0,1) Gamma(A1)= 0.02 Gamma(A2)= 0.94 P(St<K2) 0.02 P(St>K1) 0.06 P(St<K1) 0.94 Let A3 = (ln((VaR(alpha,n)+1200)/1000)-(0.12-0.35^2/2)*0.1)/(0.35*sqrt(0.1)) A4 = (ln((800-VaR(alpha,n))/1000)-(0.12-0.35^2/2)*0.1)/(0.35*sqrt(0.1))
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Unformatted text preview: Let X = VaR(alpha,n) F(VaR(alpha,(1-Gamma(A4)) * P(St&lt;K2) + (P(St&lt;k1) - P(St&lt;K2)) + (Gamma(A3) * P(St&gt;K1)) = alpha Finding VaR(0.9,n) X-1200 A3 =-130.44 A4 = 6.21 P(St&lt;K1) - P(St&lt;K2) 0.93 Gamma(A3) Gamma(A4) 1 1000*F(VaR(alpha,n)) = 925.29...
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