Question
The vega of a derivatives portfolio dependent on the US dollar Japanese Yen exchange rate is 250 ($ per %). What is the effect on
The vega of a derivatives portfolio dependent on the US dollar Japanese Yen exchange rate is 250 ($ per %). What is the effect on the portfolio of an increase in the volatility of the exchange rate from 10% to 9.5%?
| A. | The value of the portfolio decreases by -$1.25. | |
| B. | The value of the portfolio decreases by -$125. | |
| C. | The value of the portfolio increases by $1.25. | |
| D. | The value of the portfolio increases by $125 |
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M Finance
Authors: Marcia Cornett, Troy Adair, John Nofsinger
3rd Edition
0077861779, 978-0077861773
