Question
The gamma and vega of a delta-neutral portfolio are 55 and 27, respectively, where vega is per %. Estimate what happens to the value of
The gamma and vega of a delta-neutral portfolio are 55 and 27, respectively, where vega is per %. Estimate what happens to the value of the portfolio when there is a shock to the market causing the underlying asset price to decrease by $5 and its volatility to increase by 5%.
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Public Finance A Contemporary Application of Theory to Policy
Authors: David N Hyman
11th edition
9781305474253, 1285173953, 1305474252, 978-1285173955
