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.
题目问:一个非线性的组合,基础资产是股票。delta=30,gamma=5,其他条件不变的情况下,如果股价变化2USD,整个组合的头寸会怎么变化?
30 × 2 + 0.5 × 5 × 2^2 = 70