A bank has a portfolio of options on an asset the delta of, Financial Econometrics

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A bank has a portfolio of options on an asset the delta of

A bank has a portfolio of options on an asset. The delta of the options is -30 and the gamma is 5.

Explain how these numbers can be interpreted.

The asset price is 20 and its volatility is 1% per day. Adapt Sample Application E in the DerivaGem Application Builder software to calculate VaR.

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Financial Econometrics: A bank has a portfolio of options on an asset the delta of

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Financial Econometrics: A bank has a portfolio of options on an asset the delta of

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