Question
Your portfolio is worth $1,000,000 and has the following greeks: Delta = 20; Gamma = 10,000; Vega = 8,000; Theta (per calendar day) = -300;
Your portfolio is worth $1,000,000 and has the following greeks: Delta = 20; Gamma = 10,000; Vega = 8,000; Theta (per calendar day) = -300; Rho = 250 What will be the value of your portfolio after 1 day, if S went up $1, volatility went down 1% and r went up 1%?
A
$998,250
B
$991,970
C
$1,002,250
D
$1,010,250
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EAuditing Fundamentals Virtual Communication And Remote Auditing
Authors: J.P. Russell, Shauna Wilson
1st Edition
0873898486, 978-0873898485
