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Estimate what happens to the value of the portfolio

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Question - The gamma and vega of a delta-neutral portfolio are 60 and 31, respectively, where vega is per %. Estimate what happens to the value of the portfolio when there is a shock to the market causing the underlying asset price to decrease by $5 and its volatility to increase by 6%.

-The value of the portfolio will increase/decrease if there is a shock to the market that will cause the underlying price of the asset to decrease by $5 and the volatility to increase by 6%.

-The value of the portfolio will change to how much in $, if there is a shock to the market that will cause the underlying price of the asset to decrease by $5 and the volatility to increase by 6%.

Reference no: EM132985001

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