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Homework answers / question archive / Macquarie University - AFIN 328 the gamma and vega of a delta neutral portfolio are 50 per $ and 25 per %, respectively

Macquarie University - AFIN 328 the gamma and vega of a delta neutral portfolio are 50 per $ and 25 per %, respectively

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Macquarie University - AFIN 328

the gamma and vega of a delta neutral portfolio are 50 per $ and 25 per %, respectively. Estimate what happens to the value of the portfolio when there is a shock to the market casuing the underlying asset price to decrease by $3 and its volatility to increase by 4%.

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