NO.PZ2020011303000070
问题如下:
A non-linear portfolio depends on a stock price.The delta is 30 and the gamma is 5. Estimate the impact of a USD 2 change in the stock price on the value of the portfolio with all else remaining the same.
选项:
解释:
The impact (in USD) is 30 × 2 + 0.5 × 5 × 2^2 = 70.
本题有一位老师的解答是,duration是一阶导,用delta衡量,convexity是二阶导,用gamma衡量。
这句话没有办法理解,duration和convexity是在bond那个章节提到的,和本题已知delta和gamma求impact,是有联系的么?
另外,请老师讲一下具体去听哪里的课程把这个知识点补一下。
感谢。