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Message: <blockquote data-quote="quantdaddy" data-source="post: 246961" data-attributes="member: 40504">Hi. I am trying to understand why the value at risk from my simulation deviates from the value at risk based on the delta-normal model in which the 1 % VaR can be calculated as -2.33 * sqrt(delta^2*sigma^2).The instrument is a european put option deep in the money. S_0 = 100, K=10000, T=1/365, r=0.04, sigma = 0.2 which can be priced with the black scholes model. The delta is -1 which is obtained from the black scholes model.From my simulation i get a 1 % VaR of 2.419 and from the delta normal model I get 0.465.The simulation is based on a geometric brownian motion to generate scenarios.S_t = S_0 exp((mu-sigma^2/2)*t + sigma * W_t)Does anybody have an idea as to what goes wrong?</blockquote>