0236 831 000214 3 1 0256 84 5 0002238 1 026 7234

Info iconThis preview shows page 1. Sign up to view the full content.

View Full Document Right Arrow Icon
This is the end of the preview. Sign up to access the rest of the document.

Unformatted text preview: 238 -1 -0.26 7234 -0.002284 -1 -0.277874 -0.002329 -1 -0.28876 1 -0.002372 -1 ### -0.00256 2 -1 ### -0.00259 3 -1 ### ### -1 -0.4 22887 -0.002715 -1 ### -0.00274 4 -1 ### -0.00276 1 -1 -0.504 09 1 -0.00276 4 -1 -0.5179 02 -0.00276 1 -1 -0.53174 8 -0.002755 -1 -0.54 56 15 -0.00274 5 -1 -0.559 4 85 -0.002731 -1 -0.57334 1 -0.002715 -1 -0.58716 5 ### -1 ### -0.0026 71 -1 ### ### -1 ### -0.00254 5 -1 ### -0.002506 -1 ### ### -1 ### -0.0024 19 -1 -0.707278 -0.002371 -1 ### -0.002321 -1 -0.732178 ### -1 ### -0.002215 -1 -0.756 157 -0.002158 -1 -0.275319 ### -1 -0.29 3515 -0.002022 -1 ### -0.002079 -1 -0.32209 2 -0.002106 -1 ### -0.002132 -1 -0.352124 -0.002179 -1 -0.37289 5 -0.002222 -1 ### -0.002288 -1 -0.4 27116 -0.002301 -1 -0.4 38300 -0.002312 -1 ### -0.002328 -1 -0.4 839 13 -0.002336 -1 -0.54 2233 -0.002322 -1 -0.6 00854 -0.002257 -1 -0.6 584 50 -0.00214 2 -1 -0.7136 78 -0.0019 80 -1 ### -0.0016 52 -1 -0.3574 72 -0.001709 -1 -0.3734 50 -0.001733 -1 -0.389 777 -0.001755 -1 ### -0.001774 -1 -0.4 2339 8 -0.00179 0 -1 ### -0.001803 -1 -0.4 9 3785 -0.001821 -1 -0.539 200 -0.001810 -1 -0.585035 -0.001774 -1 ### -0.001713 -1 ### -0.0016 28 Portfolio Delta Gamma -4 9 .33584 3 -0.26 4 883 Ra ndom Numbers Sim ulate d 10 DVPF ,t+1 N (µ=0, σ=1) day r eturns Delta-Based Gamma-Based -1.27854 9 -0.0729 89 4 09 4 .79 3182.4 4 -0.9 00700 -0.0514 18 2884 .6 6 24 31.88 -1.271824 -0.0726 05 4 073.25 3170.4 7 1.6 9 36 34 0.09 6 6 85 -54 24 .17 -7025.08 0.527308 0.030102 -16 88.80 -184 3.9 9 0.4 6 3388 0.026 4 53 -14 84 .08 -16 03.9 3 0.339 4 4 4 0.019 378 -1087.13 -1151.4 4 1.019 700 0.058212 -326 5.78 -384 6 .10 -0.713002 -0.04 0703 2283.52 19 9 9 .79 0.816 84 9 0.04 6 6 31 -26 16 .11 -29 88.51 1.86 0553 0.106 213 -59 58.76 -789 0.78 0.006 005 0.00034 3 -19 .23 -19 .25 1.14 4 4 22 0.06 5332 -36 6 5.22 -4 39 6 .19 -0.786 4 70 -0.04 4 89 7 2518.81 2173.6 0 -0.4 04 4 6 1 -0.023089 129 5.36 1204 .06 -0.30159 3 -0.017217 9 6 5.9 1 9 15.14 1.235237 0.070516 -39 56 .07 -4 807.6 6 1.9 084 20 0.1089 4 6 -6 112.06 -814 4 .77 -0.6 16 4 25 -0.03519 0 19 74 .21 176 2.14 0.52836 3 0.03016 3 -16 9 2.18 -184 7.9 9 0.4 34 6 20 0.024 811 -139 1.9 5 -14 9 7.38 -0.9 29 4 19 -0.053058 29 76 .6 4 24 9 4 .52 -0.4 584 54 -0.026 172 14 6 8.28 1350.9 8 0.0174 04 0.0009 9 4 -55.74 -55.9 1 -0.6 1079 2 -0.034 86 8 19 56 .17 174 7.9 6 -0.217153 -0.01239 7 6 9 5.4 7 6 6 9 .15 0.14 5051 0.008281 -4 6 4 .55 -4 76 .29 -0.355370 -0.020287 1138.14 106 7.6 5 0.4 6 9 6 15 0.026 809 -1504 .03 -16 27.12 0.6 5234 9 0.03724 1 -2089 .27 -2326 .78 0.0816 00 0.004 6 58 -26 1.34 -26 5.05 0.4 17031 0.023807 -1335.6 2 -14 32.6 8 0.36 034 6 0.020571 -1154 .08 -1226 .55 -0.4 59 220 -0.026 215 14 70.74 1353.04 2.017514 0.115174 -6 4 6 1.4 6 -8733.20 0.207217 0.011829 -6 6 3.6 5 -6 87.6 2 -1.13884 4 -0.06 5013 36 4 7.36 29 23.50 0.4 4 186 2 0.025225 -14 15.14 -1524 .11 -1.4 086 4 4 -0.0804 15 4 511.4 4 34 03.9 8 0.354 230 0.020222 -1134 .4 9 -1204 .52 -0.12814 1 -0.007315 4 10.39 4 01.23 0.09 2888 0.005303 -29 7.4 9 -3...
View Full Document

Ask a homework question - tutors are online