薛真 · 2020年10月20日
问题如下：
A delta-neutral portfolio has a gamma of -20. The price of the underlying asset suddenly increases by USD 3. Estimate what happens to the value of the portfolio. What difference does it make if the price of the underlying asset suddenly decreases by USD 3?
选项：
解释：
The USD value of the portfolio will change by: 1/2X (-20) X 3^2= -90
The change in the value of the portfolio is the same if the value of the underlying asset decreases by USD 3.
公式是什么？
NO.PZ2020021205000043问题如下A lta-neutrportfolio ha gamma of -20. The priof the unrlying asset suenly increases US3. Estimate whhappens to the value of the portfolio. Whfferenes it make if the priof the unrlying asset suenly creases US3?p.p1 {margin: 0.0px 0.0px 0.0px 0.0px; font: 9.0px Helveticcolor: #454047}span.s1 {color: #4b5766}span.s2 {color: #695147}The USvalue of the portfolio will change by: 1/2X (-20) X 3^2= -90 The change in the value of the portfolio is the same if the value of the unrlying asset creases US3.p.p1 {margin: 0.0px 0.0px 0.0px 0.0px; font: 9.0px Helveticcolor: #443e45}p.p2 {margin: 0.0px 0.0px 0.0px 0.0px; font: 9.0px Helveticcolor: #494e}span.s1 {color: #4b5a6e}span.s2 {color: #675248}span.s3 {font: 7.0px Helvetica}span.s4 {font: 6.0px Helvetica}p.p1 {margin: 0.0px 0.0px 0.0px 0.0px; font: 9.0px Helveticcolor: #4a4347}span.s1 {color: #4b586c}老师好，即使因为tla为0，只考虑非线性因素，西塔等于0，但是等式左侧是无风险利率乘以期权价值，也不是标的物股票的价格变动呀？用这个公式计算行吗？P就是S，也就是股票价格。
NO.PZ2020021205000043 问题如下 A lta-neutrportfolio ha gamma of -20. The priof the unrlying asset suenly increases US3. Estimate whhappens to the value of the portfolio. Whfferenes it make if the priof the unrlying asset suenly creases US3?p.p1 {margin: 0.0px 0.0px 0.0px 0.0px; font: 9.0px Helveticcolor: #454047}span.s1 {color: #4b5766}span.s2 {color: #695147} The USvalue of the portfolio will change by: 1/2X (-20) X 3^2= -90 The change in the value of the portfolio is the same if the value of the unrlying asset creases US3.p.p1 {margin: 0.0px 0.0px 0.0px 0.0px; font: 9.0px Helveticcolor: #443e45}p.p2 {margin: 0.0px 0.0px 0.0px 0.0px; font: 9.0px Helveticcolor: #494e}span.s1 {color: #4b5a6e}span.s2 {color: #675248}span.s3 {font: 7.0px Helvetica}span.s4 {font: 6.0px Helvetica}p.p1 {margin: 0.0px 0.0px 0.0px 0.0px; font: 9.0px Helveticcolor: #4a4347}span.s1 {color: #4b586 为什么sigma*S=基础资产价格变动？
NO.PZ2020021205000043问题如下A lta-neutrportfolio ha gamma of -20. The priof the unrlying asset suenly increases US3. Estimate whhappens to the value of the portfolio. Whfferenes it make if the priof the unrlying asset suenly creases US3?p.p1 {margin: 0.0px 0.0px 0.0px 0.0px; font: 9.0px Helveticcolor: #454047}span.s1 {color: #4b5766}span.s2 {color: #695147}The USvalue of the portfolio will change by: 1/2X (-20) X 3^2= -90 The change in the value of the portfolio is the same if the value of the unrlying asset creases US3.p.p1 {margin: 0.0px 0.0px 0.0px 0.0px; font: 9.0px Helveticcolor: #443e45}p.p2 {margin: 0.0px 0.0px 0.0px 0.0px; font: 9.0px Helveticcolor: #494e}span.s1 {color: #4b5a6e}span.s2 {color: #675248}span.s3 {font: 7.0px Helvetica}span.s4 {font: 6.0px Helvetica}p.p1 {margin: 0.0px 0.0px 0.0px 0.0px; font: 9.0px Helveticcolor: #4a4347}span.s1 {color: #4b586c}请问此题给出的条件需要如何加工？比如。给出一个GAMMA 后明什么问题？想说明什么问题？题目想得出什么结果？看了以前答案不明白，感觉和题目没有逻辑关系。
NO.PZ2020021205000043 讲义里没有讲这个公式，需要掌握吗？是否能够明确一下课上没讲的东西你们题里又出现到底是考纲要求的还是没要求的？遇到很多了
NO.PZ2020021205000043 本题的考点是否为讲义549页的公式？是的话公式中的stanrviation的平方为什么可以忽略？
