[一級估值與風險模型] 老師，請問這句話里為什么portable 會增加gamma?。?/h3>
userld475h 發(fā)布于：2019-10-27 18:01:49 瀏覽340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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李老師-Lisy 發(fā)布于2019-10-27 21:53:16

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