NO.PZ2020021205000044
问题如下:
From the information in the following table, estimate (a) what position should be taken in option A and the underlying asset for vega and delta neutrality, and (b) what position should be taken in option B and the underlying asset for gamma and delta neutrality. Note: when answering part (b) do not assume that the position in part (a) has been taken.
选项:
解释:
For vega neutrality, we can take a position of -200 in option A. This will create a delta of 0.8 X (-200) = -160, and 160 of the underlying asset should be purchased. For gamma neutrality, we can take a position of -120 in option B. This will create a delta of -0.6 X (-120) = 72, and 72 of the underlying asset should be sold.
第一问中,portfolio是由underlying assets和option A组成的吗?
第二问中,portfolio是由underlying assets和option B组成的吗?