Suppose that in Problem 16.14 the vega of the portfolio is 2 per 1% change in the
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Suppose that in Problem 16.14 the vega of the portfolio is —2 per 1% change in the annual volatility. Derive a model relating the change in the portfolio value in one day to delta, gamma, and vega. Explain, without doing detailed calculations, how you would use the model to calculate a VaR estimate.
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