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

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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...
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