A bank has a portfolio of options on an asset. The delta of the options is -30

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A bank has a portfolio of options on an asset. The delta of the options is

-30 and the gamma is - 5 . Explain how these numbers can be interpreted.

The asset price is 20 and its volatility is 1 % per day. Using the quadratic model calculate the first three moments of the change in the portfolio value. Calculate a 1-day 99% VaR using

(a) the first two moments and

(b) the first three moments.

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Risk Management And Financial Institutions

ISBN: B008AUN1VW

1st Edition

Authors: John C Hull

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Question Posted: Jul 10, 2024 10:04 AM

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A bank has a portfolio of options on an asset. The delta of the options is -30

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Risk Management And Financial Institutions

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