Archie · 2022年05月07日
NO.PZ2020021205000056
问题如下：
A stock price is currently 40. At the end of six months it will be either 36 or 44. The risk-free rate is 5% per annum with continuous compounding.there is a six month European put option with a strike price of 40,what position should be taken in the stock to hedge a long position in the option?
解释：
The position is long 0.5 shares. This is because 0.5 shares plus the long put option is worth 22 for both outcomes.
看了其他同学的但是也没明白，是n乘以s加上p等于0嘛
NO.PZ2020021205000056 问题如下 A stopriis currently 40. the enof six months it will either 36 or 44. The risk-free rate is 5% per annum with continuous compounng.there is a six month Europeput option with a strike priof 40,whposition shoultaken in the stoto hee a long position in the option? The position is long 0.5 shares. This is because 0.5 shares plus the long put option is worth 22 for both outcomes. 请问能否给出解题过程 这个是哪个知识点
NO.PZ2020021205000056问题如下A stopriis currently 40. the enof six months it will either 36 or 44. The risk-free rate is 5% per annum with continuous compounng.there is a six month Europeput option with a strike priof 40,whposition shoultaken in the stoto hee a long position in the option?The position is long 0.5 shares. This is because 0.5 shares plus the long put option is worth 22 for both outcomes.1.可以用平值put期权的lta=-0.5直接得出吗？2.lta是-0.5为什么对应longstock，经济学意义我能理解，数学含义怎么理解？
NO.PZ2020021205000056问题如下A stopriis currently 40. the enof six months it will either 36 or 44. The risk-free rate is 5% per annum with continuous compounng.there is a six month Europeput option with a strike priof 40,whposition shoultaken in the stoto hee a long position in the option?The position is long 0.5 shares. This is because 0.5 shares plus the long put option is worth 22 for both outcomes.讲义上三种解题方法结果相同，但是适用情景有何不同？
NO.PZ2020021205000056问题如下A stopriis currently 40. the enof six months it will either 36 or 44. The risk-free rate is 5% per annum with continuous compounng.there is a six month Europeput option with a strike priof 40,whposition shoultaken in the stoto hee a long position in the option?The position is long 0.5 shares. This is because 0.5 shares plus the long put option is worth 22 for both outcomes.这道题的lta=-0.5是吗？
NO.PZ2020021205000056 问题如下 A stopriis currently 40. the enof six months it will either 36 or 44. The risk-free rate is 5% per annum with continuous compounng.there is a six month Europeput option with a strike priof 40,whposition shoultaken in the stoto hee a long position in the option? The position is long 0.5 shares. This is because 0.5 shares plus the long put option is worth 22 for both outcomes. 另外，我算出来的HR是-0.5，为什么是long一个stock？，怎么判断long还是short，call的话会不同么？
