NO.PZ2021061002000071
问题如下:
Suppose the current price (S0)
of a non-dividend-paying stock is $50, and a put option on the stock has an
exercise price (X) of $54 with six months left to maturity. Now an investor
believes that the stock’s price in six months’ time will be either 10% higher
or 10% lower.
Which of the
following is true about constructing a perfectly hedged portfolio using put
options and their underlying stocks?
选项:
A.
Buy one put option and buy 0.9 units of the
underlying asset.
B.
Buy one put option and sell 0.9 units of
the underlying asset.
C.
Sell one put option and buy 0.9 units of the
underlying asset.
解释:
解析:
S1u = 50 * (1+10%) =
55, p1u=Max(0, 54 -55)= 0
S1d = 50 * (1-10%) =
45, p1d=Max(0, 54 -45)= 9
h = p1u - p1d / S1u - S1d = (0-9) / (55-45) = -0.9
注意计算的h是每份期权对应的标的资产的份数。Long stock与long put构成对冲组合,因此A对。
请问怎么用老师讲的ns*delta s+np*delta p=0来做这道题呀?