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.
提问中有老师回答说是用泰勒展开式计算,有提问说是用Delta-gamma的VaR(df)计算的?两个公式还是有区别的吧?
如果用泰勒展开式delta对应的是-D*P、gamma对应C*P嘛?
用Delta-gamma的VaR(df)计算的话,股价的变动怎么对应VAR呀?