b***k
发帖数: 2673 | 1 ☆─────────────────────────────────────☆
hgxinyu (sunshine) 于 (Sun Aug 24 02:21:24 2008) 提到:
1. "The delta of an index option is 100m $, and gamma of this option is 10m
$, the IBM stock counts 10% of the index. The question is: if ibm stock
moves 1 percent, whats the delta of the ibm stock would be?"
I have no idea what he's talking about.
Does it make sense even if he's asking for delta of the option?
2. 2 independent portfolio X, Y
VaR(value at risk) of X=80m
VaR of Y=20m
upper and lower b | s*******s
发帖数: 11 | 2 (1) is straightforward using delta and gamma.
For (2), the lower limit is 0 and the upper limit is 100m if X is continuous
and infinity if X can be discrete.
For lower limit, consider 95% VaR for a normal distributed X and Y=-X with
E(X) = 30 and STD(X)*1.645 = 50.
For upper limit, we can easily create examples in which VaR of X+Y is
infinity if both of them are discrete.
10m
【在 b***k 的大作中提到】
: ☆─────────────────────────────────────☆
: hgxinyu (sunshine) 于 (Sun Aug 24 02:21:24 2008) 提到:
: 1. "The delta of an index option is 100m $, and gamma of this option is 10m
: $, the IBM stock counts 10% of the index. The question is: if ibm stock
: moves 1 percent, whats the delta of the ibm stock would be?"
: I have no idea what he's talking about.
: Does it make sense even if he's asking for delta of the option?
: 2. 2 independent portfolio X, Y
: VaR(value at risk) of X=80m
: VaR of Y=20m
| f***t
发帖数: 17 | 3 我靠， 这么简单的题，为什不让我去面，什么position啊
10m
【在 b***k 的大作中提到】
: ☆─────────────────────────────────────☆
: hgxinyu (sunshine) 于 (Sun Aug 24 02:21:24 2008) 提到:
: 1. "The delta of an index option is 100m $, and gamma of this option is 10m
: $, the IBM stock counts 10% of the index. The question is: if ibm stock
: moves 1 percent, whats the delta of the ibm stock would be?"
: I have no idea what he's talking about.
: Does it make sense even if he's asking for delta of the option?
: 2. 2 independent portfolio X, Y
: VaR(value at risk) of X=80m
: VaR of Y=20m
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