4896数理金融简单数值题short
Translation-Invariant Capital Recovery 6
题目
A coherent capital rule reports rho(L-h)=4.6 after a deterministic hedge h=1.2 is added in every scenario. What was rho(L), and how much extra deterministic cash would still be needed to make the hedged position acceptable?
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你的答案
rho(L)
extra deterministic cash needed