NO.PZ2020021205000041
问题如下:
Suppose that the vega of a portfolio of options dependent on a particular asset is USD 4.5 per 1%. The volatility of the asset decreases from 23% to 21 %. What do you expect to happen to the value of the portfolio?
选项:
解释:
We expect the value of the portfolio to decrease by 2 X 4.5 = 9.0. (Although 2% is a relatively large change, options are close to linearly dependent on volatility, so we can expect the answer to be accurate.)
如果价格低于执行价格,volatiliy下降2%,应当带来资产价格下降9.
如果资产价格高于执行价格,volatility 下降2%,应当带来资产价格上升9.