张大龙 · 2025年02月22日
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：
A.
40
B.
50
C.
60
D.
70
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
久期前面的负号 到底用不用加啊……
NO.PZ2020011303000070 问题如下 A non-lineportfolio pen on a stoprice.The lta is 30 anthe gamma is 5. Estimate the impaof a US2 increase in the stoprion the value of the portfolio with all else remaining the same. The impa(in US 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。lta=30，gamma=5，其他条件不变的情况下，如果股价变化2US整个组合的头寸会怎么变化？30 × 2 + 0.5 × 5 × 2^2 = 70
NO.PZ2020011303000070问题如下 A non-lineportfolio pen on a stoprice.The lta is 30 anthe gamma is 5. Estimate the impaof a US2 increase in the stoprion the value of the portfolio with all else remaining the same. The impa(in US 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。lta=30，gamma=5，其他条件不变的情况下，如果股价变化2US整个组合的头寸会怎么变化？30 × 2 + 0.5 × 5 × 2^2 = 70 lt和久期公式不一样吗？为什么
NO.PZ2020011303000070问题如下 A non-lineportfolio pen on a stoprice.The lta is 30 anthe gamma is 5. Estimate the impaof a US2 increase in the stoprion the value of the portfolio with all else remaining the same. The impa(in US 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。lta=30，gamma=5，其他条件不变的情况下，如果股价变化2US整个组合的头寸会怎么变化？30 × 2 + 0.5 × 5 × 2^2 = 70 公式的最前面为什么没有负号
NO.PZ2020011303000070问题如下 A non-lineportfolio pen on a stoprice.The lta is 30 anthe gamma is 5. Estimate the impaof a US2 increase in the stoprion the value of the portfolio with all else remaining the same. The impa(in US 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lta-gamma的VaR（）计算的？两个公式还是有区别的吧？如果用泰勒展开式lta对应的是-P、gamma对应C*P嘛？用lta-gamma的VaR（）计算的话，股价的变动怎么对应VAR呀？
