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水瓶公主 · 2023年03月03日

delta

  1. FRM I
  2. Financial Markets And Products

NO.PZ2016082404000030

问题如下：

A bank has sold USD 300,000 of call options on 100,000 equities. The equities trade at 50, the option strike price is 49, the maturity is in three months, volatility is 20%, and the interest rate is 5%. How does the bank delta-hedge?

选项：

A.

  Buy 65,000 shares

B.

  Buy 100,000 shares

C.

  Buy 21,000 shares

D.

  Sell 100,000 shares

解释：

ANSWER: A

This is an at-the-money option with a delta of about 0.5. Since the bank sold calls, it needs to delta-hedge by buying the shares. With a delta of 0.54, it would need to buy approximately 50,000 shares. Answer A is the closest. Note that most other information is superfluous.

nc*deltac+ns*deltas=0


delta=0.648，是期权的delta还是股票的delta

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1 个答案

pzqa27 · 2023年03月03日

嗨，爱思考的PZer你好：


是期权的delta，股票的Δ一般是1

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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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