+1-415-670-9189
info@expertsmind.com
Change in portfolio value and percentage change in asset
Course:- Financial Management
Reference No.:- EM131239638




Assignment Help
Expertsmind Rated 4.9 / 5 based on 47215 reviews.
Review Site
Assignment Help >> Financial Management

Consider a portfolio of options on a single asset. Suppose that the delta of the portfolio is 12, the value of the asset is $10, and the daily volatility of the asset is 2%. Estimate the 1-day 95% VaR for the portfolio from the delta.

Suppose next that the gamma of the portfolio is -2:6. Derive a quadratic relationship between the change in the portfolio value and the percentage change in the underlying asset price in one day. How would you use this in a Monte Carlo simulation?




Put your comment
 
Minimize


Ask Question & Get Answers from Experts
Browse some more (Financial Management) Materials
LaPorta, Lakonishok, Shleifer, and Vishny (“Good News for Value Stocks,” Journal of Finance, June 1997) study the returns on stocks on the few days surrounding their quarterly
Administrators at Bacon College are debating the construction of a new building to house the School of Business Administration. They have estimated the total amount needed at
The firm manufactures a global positioning system (GPS) that sells for $2,000, with cost of goods sold (hardware 30% and software 70%) of 55% of sales. What is the new cost
Suppose that, in the current market equilibrium, a 30-day treasury bill provides an annual yield of .5%, while 30-day commercial paper issued by Chipotle provides an annual yi
The following is true about financial reporting alternatives: Customers arrive at a bank at a rate of 50 per hour. The bank has 3 tellers and on average, it takes 2 minutes to
The Poseidon Swim Company produces swim trunks. The average selling price for one of their swim trunks is $84.44. The variable cost per unit is $22.14, Poseidon Swim has avera
Pierre receives a thirty-year annuity paying $200(1.03)^t + $100(1.02)^2t + $80t − $60 at the beginning of the t-th year. Find the value of this annuity at the end of the tent
Suppose there are n mutually uncorrelated assets. The return on asset i has variance sigmai2. The expected rate of return are unspecified at this point. The total amount of as