Question
The gamma and vega of a delta-neutral portfolio are 60 per $ per $ and 25 per %, respectively. Estimate what happens to the value
The gamma and vega of a delta-neutral portfolio are 60 per $ per $ and 25 per %, respectively. 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 $3 and its volatility to increase by 4%.
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Financial Mathematics
Authors: Cacildo Marques
1st Edition
8741574710, 979-8741574713
