判断正误VaR does not work as well for call options because option returns are less likely than theunderlying assets returns to be normally distributed

正确。VaR (Value at Risk) is a risk management tool that measures the potential loss of a portfolio or investment over a given time period. It is based on the assumption that returns follow a normal distribution. However, call options have asymmetric return distributions because there is a limited downside risk and unlimited upside potential. Therefore, option returns are less likely to be normally distributed, making VaR less effective for call options compared to the underlying asset's returns.