$g=1.4\%$

NO HEDGE

$E\left[V{P}_0\right]$

$CVa{R}_{VP}\left(\alpha \right)$

Strategy A

69,000

−780,400

StrategyB

−188,760

−1,394,800

STATIC HEDGING

Strategy A

263,810

206,290

Strategy B

271,860

170,990

$g=1.5\%$

NO HEDGE

Strategy A

−11,720

−822,500

Strategy B

−243,890

−1,460,400

STATIC HEDGING

Strategy A

262,860

204,600

Strategy B

260,000

160,030

$g=2\%$

NO HEDGE

Strategy A

−163,680

−1,093,200

Strategy B

−384,370

−1,693,400

STATIC HEDGING

Strategy A

243,740

184,000

Strategy B

217,660

116,900