Question
the gamma and vega of a delta neutral portfolio are 50 per $ and 25 per %, respectively. Estimate what happens to the value of
the gamma and vega of a delta neutral portfolio are 50 per $ and 25 per %, respectively. Estimate what happens to the value of the portfolio when there is a shock to the market casuing the underlying asset price to decrease by $3 and its volatility to increase by 4%.
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Personal Finance
Authors: Jack Kapoor, Les R. Dlabay, Robert J. Hughes
2nd Edition
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