问题如下:
A delta-neutral portfolio has a gamma of -20. The price of the underlying asset suddenly increases by USD 3. Estimate what happens to the value of the portfolio. What difference does it make if the price of the underlying asset suddenly decreases by USD 3?
选项:
解释:
The USD value of the portfolio will change by: 1/2X (-20) X 3^2= -90
The change in the value of the portfolio is the same if the value of the underlying asset decreases by USD 3.
首先,很抱歉。不清楚什么原因,图不是正的,我电脑图是正的。
这道题,这样解,是哪里错了