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    Taylor series approximation - why does it overstate a long call/put option VaR?

    However, since VaR is calculated by multiplying the second moment by the z value, doesn't the effect of positive or negative numbers in other terms disappear? ex ) var(ds-ds^2) = var(dS) + var(dS^2) (since, cov(dS,dS^2) = 0)
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