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N23. Only calculations and formula, less explanations plz Assuming that the gamma of the portfolio in question 20 is -2.6 (again, measured by the actual
N23. Only calculations and formula, less explanations plz
Assuming that the gamma of the portfolio in question 20 is -2.6 (again, measured by the actual change), what is the gamma relative to the proportional change? Derive a quadratic relationship between the portfolio value crossover and the daily crossover of the underlying asset price
formula and:
a) Calculate the first third order moments of the portfolio.
b) Using the first second order moments and assuming a normal distribution for the daily value change of the portfolio, calculate the 95% VaR of the portfolio for a 1-day horizon.
c) Correct the answer to (b) using the third-order moments and the Cornelius-Fisher expansion.
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1119144752, 978-1119144755
