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jacqie · 2022年05月22日

这个22是怎么算出来的？

  1. FRM I
  2. Financial Markets And Products

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?

选项：

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.

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？

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1 个答案

李坏_品职助教 · 2022年05月22日

嗨，努力学习的PZer你好：


题目说的是put option，它问你为了对冲一个put option的多头仓位（就是先假设你已经买入了一份put option）,你需要在股票上采取什么对冲仓位？


put option是看跌期权，股票越跌越赚钱，股票涨了反而亏钱（最多亏掉期权费）。所以为了对冲put option，你需要做多(long)股票。


hedge ratio的正负号不重要，判断股票到底是Long还是short主要看期权仓位的盈亏方向，如果期权是因为股票上涨而亏钱，我们就得通过Long stock来对冲。如果是long 一个call option，那么这道题答案就是short 0.5 shares

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

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