The vega of a derivatives portfolio dependent on the dollar sterling exchange rate is 200 (per %).

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The vega of a derivatives 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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Risk Management And Financial Institutions

ISBN: 9781119932482

6th Edition

Authors: John C Hull

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Question Posted: Mar 08, 2024 01:00 AM

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The vega of a derivatives portfolio dependent on the dollar sterling exchange rate is 200 (per %).

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Risk Management And Financial Institutions

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