Assume that we invest a fixed amount W> 0 to buy call options with a strike price X. Investigate the monotonicity of the Value at Risk of our investment with respect to the strike price. For the solution assume that (μ- 0²/2)T + o√TN-¹(a) < 0 and r > 0, (which is most often the case with real life parameters.) Note that as the strike price changes, option prices change also. This means that for different strike prices X we can buy different numbers of options for W. This exercise is therefore different from Exercise 4.2. *Hint. Use the fact that the price of a European call option is decreasing and convex with respect to the strike price X.