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A derivatives portfolio has the following greeks : (1) delta=0.5, (2) vega=100 (per%), and (3) gamma=10. Compute the change in the value of the portfolio
- A derivatives portfolio has the following greeks: (1) delta=0.5, (2) vega=100 (per%), and (3) gamma=10.
- Compute the change in the value of the portfolio when the underlying increases from $100 to $105.
- Compute the change in the value of the portfolio when volatility decreases from 12% to 10%.
- Compute the change in the value of the portfolio when the underlying increases by $3 and decreases by $3.
- Compute the change in the value of the portfolio when the underlying increases from $100 to $105.
- Compute the change in the value of the portfolio when volatility decreases from 12% to 10%.
- Compute the change in the value of the portfolio when the underlying increases by $3 and decreases by $3.
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Behavioural Approaches To Corporate Governance
Authors: Cameron Elliott Gordon
1st Edition
1138611395, 978-1138611399
