デルタとガンマによるVaR

最近オプションの元になる資産の値動きの敏感性を調べています。I reviewed my calculations and cannot determine the reason why the VaR I obtain of about 7.2 deviates substantially from the RiskLatte solution of 13.3. My assumption was that the formula for the derivative's volatility was sigma*delta+.5sigma^2*gamma, where sigma is the volatility of the underlying.