Explain how changes occur in Crash Metrics during a crash

Explain how changes occur in Crash Metrics during a crash?

E

Expert

Verified

When your portfolio contains a single underlying equity and its derivatives, so the change in its value in a crash, δΠ, written such as  

δΠ = F(δS), here F(·) is the 'formula' for the portfolio, meaning option-pricing formula for equity in the portfolio and all of the derivatives, and δS is changing in the underlying.

   Related Questions in Financial Management

2015 ┬ęTutorsGlobe All rights reserved. TutorsGlobe Rated 4.8/5 based on 34139 reviews.