[一級(jí)估值與風(fēng)險(xiǎn)模型] 老師，請(qǐng)問這句話里為什么portable 會(huì)增加gamma啊？

userld475h 發(fā)布于：2019-10-27 18:01:49 瀏覽338次   FRM FRM Part I
With a puttable feature the investor is long an option because he or she can “put” back the bond to the issuer. This will create positive gamma or lower VaR than otherwise.
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名師解答

李老師-Lisy 發(fā)布于2019-10-27 21:53:16

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