5869数理金融困难数值题short

Hedged P&L From The Variance Gap

题目

Approximate the total P&L of a long delta-hedged option by 0.5·gamma·S^2·(sigma_real^2 - sigma_impl^2)·T. With gamma 0.05, S = 50, realized vol 0.30, implied vol 0.22, and T = 20/252 years, what is the approximate P&L, to four decimals?

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