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FRM一级
包含FRM一级传统在线课程、通关课程及试题相关提问答疑;
专场人数:3415提问数量:63475
押题第二份考卷的26题,1. 老师讲解的时候是说gamma <0 无论S0怎么变化,对option的影响都是negative, 但是公司不是应该是-1/2*gamma*(change of S0)^2吗?2. “When a portfolio is delta neutral and has a negative gamma, a loss is experienced when there is a large movement in the underlying asset price. We can conclude that the bank is likely to have lost money.”解答部分是强调 a large movement,和large movement有什么关系吗?谢谢














