Question
Consider a position in options on a particular stock. The position has a delta of 12 and the stock price is 10. Which of the
Consider a position in options on a particular stock. The position has a delta of 12 and the stock price is 10. Which of the following is the approximate relation between the change in the portfolio value in one day, dP, and the return on the stock during the day, dx
| a. | dP=22dx | |
| b. | dP=12dx | |
| c. | dP=1.2dx | |
| d. | dP=120dx |
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The Oxford Handbook Of Quantitative Asset Management
Authors: Bernd Scherer, Kenneth Winston
1st Edition
0199553432, 978-0199553433
