Amy · 2022年04月15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：
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？
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.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“lta✖️VaR-0.5✖️gamma✖️VARS^2”，算出来是50
