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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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Recommended Textbook for

Introduction To Derivatives And Risk Management

Introduction To Derivatives And Risk Management

Authors: Don M. Chance, Robert Brooks

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