The gamma of a deltaneutral portfolio is 30. Estimate what happens to the value of the portfolio

Question:

The gamma of a delta‐neutral portfolio is 30. Estimate what happens to the value of the portfolio when the price of the underlying asset (a) suddenly increases by $2 and (b) suddenly decreases by $2.

Fantastic news! We've Found the answer you've been seeking!

Step by Step Answer:

Related Book For answer-question

Risk Management And Financial Institutions

ISBN: 9781119932482

6th Edition

Authors: John C Hull

See More Books

Question Posted: Mar 08, 2024 01:00 AM

See More Questions

The gamma and vega of a delta-neutral portfolio are 50 per $ per $ and 25 per %, respectively. Estimate what happens to the value of the portfolio when there is a shock to the market causing the...
Two atoms collide while moving in a gas. The larger atom has a mass M = 6 Daltons and a speed v = 224 m/s, while the smaller has a mass M = 1 Daltons (D). During the collision both atoms simply...
Tatum is a consultant at R.G. & Company (R.G.), a global consulting firm. She has enjoyed the past few years working at the company. As an ambitious person, she has been focusing on her long-term...
Assume that you require a 14 percent return on a zero-coupon bond with a par value of $1,000 and six years to maturity. What is the price you should be willing to pay for this bond?
Consider the following fact pattern: Sherry is a 13-year-old student with a specific learning disability and attention deficit hyperactivity disorder (ADHD). She is halfway through the eighth grade...
Based on the design, briefly discuss the data collection procedures to be used. Be sure to include the area rea of focus and targeted sample as part of these procedures. Develop a hypothetical...
Static versus flexible budget variances Dan Ludwig is the manufacturing production supervisor for Atlantic Lighting Systems. Trying to explain why he did not get the year-end bonus that he had...
A manufacturing company reports the following information. Raw materials inventory, ending Raw materials used Current Year $ 169,500 2,160,000 1 Year Ago 2 Years Ago $ 190,500 2,522,000 $ 197,500...
Static options replication assumes that the volatility of the underlying asset will be constant. Explain this statement.
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%...
Which of the following statements is true? a. The law of demand implies that an increase in the price of a good will decrease the demand for that good. b. The law of supply implies that an increase...
1. On February 1, 2021, Kailua Corp. issued $800,000, 20 year, 9% bonds, with interest payable semi-annually on July 31 and January 31. At this time the market rate of interest was 10%. Kailuas year...
I don't really have a problem I'm willing to disclose could you please just use a generic problem a company that sells service contracts for analytical instruments would encounter? or really any...
Brad wants you to help him determine his taxes. His gross income is $58,700 for the year. He makes no contributions to his individual retirement account (IRA) and does not have a student loan. He...
What are the distinctions among the functionalist, conflict, evolutionary, exchange, and interactionist perspectives in sociological theory, particularly concerning their conceptual frameworks,...
1. A car travelling in straight line has initial velocity 20 m/s due north at time t=0s. The car has a constant deceleration 2 m/s to wards north. What will be the velocity of car after t= 10 s? How...
Reverse regression. A common method of analyzing statistical data to detect discrimination in the workplace is to fit the regression y = + x' + d + , (1) where y is the wage rate and d is a dummy...
Uniform electric field in Figure a uniform electric field is directed out of the page within a circular region of radius R = 3.00 cm. The magnitude of the electric field is given by E = (4.50 x 10-3...
How would the marketing mix for a staple convenience product differ from the one for a homogeneous shopping product? How would the mix for a specialty product differ from the mix for a heterogeneous...
Give an example of a product that is a new unsought product for most people. Briefly explain why it is an unsought product.
In what types of stores would you expect to find ( a ) convenience products, ( b ) shopping products, ( c ) specialty products, and ( d ) unsought products?
What is Cognitive Psychology and explain the benefits of it?? Also, who is one of the most influential people in cognitive psychology?
What common mistakes do students use that can lead to plagiarism? What steps can you take as a speaker to ensure you are practicing ethical speechmaking?
In what ways did the ancient Greek philosophers affect the field of psychology? And how have they influenced clinical psychology?

The gamma of a deltaneutral portfolio is 30. Estimate what happens to the value of the portfolio

Question:

Step by Step Answer:

In both c...View the full answer

Risk Management And Financial Institutions

Students also viewed these Business questions