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Using a standard normal distribution table (Z-table) or a software package such as Excel, we can find that resulting in the formula for 99 VaR with normal distribution For example, if a portfolio has a mean daily return of 0.03 and a standard deviation of 1 , and its current value is 1 million, then VaR 0.023X (0) 23,000. Excel Tip In order to find x for which P Z < x y, use the command If a portfolio is changing its positions in different assets in a dynamic fashion, it may not be...

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Computing an American option price in the two-period CRR model. Finally, from the option values at time 1, we compute the time-0 option price as max 0, e-rAt p 0 1 - p 7.2257 3.1039 From the holder's point of view, the option should not be exercised immediately at time 0 because it would pay zero the holder should exercise at time 1 if the stock goes down, because the option pays 7.2257, which is larger than the value 5.9834 of waiting. The holder should not exercise at time 1 if the stock goes...