#### saurav_m_cse

##### New Member

Hope you are doing good.

Below are few questions which I want to clarify.

1. Based on the Implied Volatility, the OTM Put or ITM Call is undervalued. ( I am assuming the regular left skewed Volatility Smile in this regards). Please correct if I am wrong.

2. Which Option has the Largest Negative Vega?

My understanding is , if nothing else is given the answer would be barrier options.

3. How can we represent , Chooser option as a function of Plain Vanilla option ? Given Strike Price, Risk Free Rate and Time to Maturity

4. We know some of the weakness of VAR (like it does not follow Sub Additive and hence not coherent) but what are the weakness of Expected Shortfall ?