leeshawilliams38 leeshawilliams38
  • 24-05-2023
  • Business
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The gamma and vega of a delta-neutral portfolio are 60 and 31, respectively, where vega is per %. Estimate what happens to the value of the portfolio when there is a shock to the market causing the underlying asset price to decrease by $5 and its volatility to increase by 6%.

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