开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)｜3.2.5(安卓)APP下载

返回

小蜜蜂jj1 · 2023年03月26日

-0.9的意思是什么？

  1. CFA I
  2. Derivative

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。

就是long put和买asset吗？如果是正数就是sell call和买asset？

添加评论
2 个答案

Lucky_品职助教 · 2023年05月26日

嗨，爱思考的PZer你好：


回复 Ivana ：NP＝1是假设，这种题目的做题思路按照李老师讲的，就是首先计算出ns，根据正负判断long unit还是short unit，然后再判断期权的long和put。

----------------------------------------------
加油吧，让我们一起遇见更好的自己！

Lucky_品职助教 · 2023年03月29日

嗨，从没放弃的小努力你好：


就是long put和买asset吗？--是的。

如果是正数就是sell call和买asset？--正数的话是 short stock，那对应应该是long call

本题由NP=1推导出ns=0.9，由于得出为正数，所以是buy stock，为了构建hedged portfilio，我们还需要long put，因此组合起来就是long put long stock

这种题目的做题思路按照李老师讲的，就是首先计算出ns，根据正负判断long unit还是short unit，然后再判断期权的long和put。

----------------------------------------------
就算太阳没有迎着我们而来，我们正在朝着它而去，加油！

Ivana 🍭 · 2023年05月26日

老师请问NP＝1是假设的吗？long 还是short是看hp＞0还是＜0吗？

  • 2

    回答

  • 0

    关注

  • 279

    浏览
相关问题

NO.PZ2021061002000071问题如下 Suppose the current pri(S0)of a non-vinpaying stois $50, ana put option on the stohanexercise pri(X) of $54 with six months left to maturity. Now investorbelieves ththe stock’s priin six months’ time will either 10% higheror 10% lower.Whiof thefollowing is true about constructing a perfectly heeportfolio using putoptions antheir unrlying stocks? A.Buy one put option anbuy 0.9 units of theunrlying asset.B.Buy one put option ansell 0.9 units ofthe unrlying asset.C.Sell one put option anbuy 0.9 units of theunrlying asset. 解析S1u = 50 * (1+10%) =55, p1u=Max(0, 54 -55)= 0S1= 50 * (1-10%) =45, p1Max(0, 54 -45)= 9h = p1u - p1 / S1u - S1 = (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。 这边的正负号有什么作用，怎么看出是call 还是put

2024-02-21 16:13 2 · 回答

NO.PZ2021061002000071问题如下 Suppose the current pri(S0)of a non-vinpaying stois $50, ana put option on the stohanexercise pri(X) of $54 with six months left to maturity. Now investorbelieves ththe stock’s priin six months’ time will either 10% higheror 10% lower.Whiof thefollowing is true about constructing a perfectly heeportfolio using putoptions antheir unrlying stocks? A.Buy one put option anbuy 0.9 units of theunrlying asset.B.Buy one put option ansell 0.9 units ofthe unrlying asset.C.Sell one put option anbuy 0.9 units of theunrlying asset. 解析S1u = 50 * (1+10%) =55, p1u=Max(0, 54 -55)= 0S1= 50 * (1-10%) =45, p1Max(0, 54 -45)= 9h = p1u - p1 / S1u - S1 = (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。 为什么buy unit要对应buy put？而不是buy call？或者sell put之类的

2024-01-07 11:14 2 · 回答

NO.PZ2021061002000071问题如下 Suppose the current pri(S0)of a non-vinpaying stois $50, ana put option on the stohanexercise pri(X) of $54 with six months left to maturity. Now investorbelieves ththe stock’s priin six months’ time will either 10% higheror 10% lower.Whiof thefollowing is true about constructing a perfectly heeportfolio using putoptions antheir unrlying stocks? A.Buy one put option anbuy 0.9 units of theunrlying asset.B.Buy one put option ansell 0.9 units ofthe unrlying asset.C.Sell one put option anbuy 0.9 units of theunrlying asset. 解析S1u = 50 * (1+10%) =55, p1u=Max(0, 54 -55)= 0S1= 50 * (1-10%) =45, p1Max(0, 54 -45)= 9h = p1u - p1 / S1u - S1 = (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。 不知道怎么区别buy和sell，计算出来是-0·9

2023-11-28 22:41 1 · 回答

NO.PZ2021061002000071 问题如下 Suppose the current pri(S0)of a non-vinpaying stois $50, ana put option on the stohanexercise pri(X) of $54 with six months left to maturity. Now investorbelieves ththe stock’s priin six months’ time will either 10% higheror 10% lower.Whiof thefollowing is true about constructing a perfectly heeportfolio using putoptions antheir unrlying stocks? A.Buy one put option anbuy 0.9 units of theunrlying asset. B.Buy one put option ansell 0.9 units ofthe unrlying asset. C.Sell one put option anbuy 0.9 units of theunrlying asset. 解析S1u = 50 * (1+10%) =55, p1u=Max(0, 54 -55)= 0S1= 50 * (1-10%) =45, p1Max(0, 54 -45)= 9h = p1u - p1 / S1u - S1 = (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。 h = p1u - p1/ S1u - S1= (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。既然h=-0.9，那么short stock和short put也是OK的吧。

2023-02-02 22:02 1 · 回答