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 increase 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.
请问这题 按公式来说 中间是➖号才对 为什么这里是➕号。公式不应该是“delta✖️VaR-0.5✖️gamma✖️VARS^2”,算出来是50