The vega of a derivative portfolio dependent on the dollar sterling exchange rate is $200 ($ per

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The vega of a derivative portfolio dependent on the dollar sterling exchange rate is $200 ($ per %). Estimate the effect on the portfolio of an increase in the volatility of the exchange rate from 12% to 14%.

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Introduces Quantitative Finance

ISBN: 978-0470319581

2nd edition

Authors: Paul Wilmott

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Posted Date: May 23, 2022 02:50 PM

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The vega of a derivative portfolio dependent on the dollar sterling exchange rate is $200 ($ per

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Introduces Quantitative Finance

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