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亚利 · 2023年06月10日

2个问题

  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?

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.

1.可以用平值put期权的delta=-0.5直接得出吗？

2.delta是-0.5为什么对应longstock，经济学意义我能理解，数学含义怎么理解？

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2 个答案

DD仔_品职助教 · 2023年06月12日

嗨，努力学习的PZer你好：


加油喔~

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加油吧，让我们一起遇见更好的自己！

DD仔_品职助教 · 2023年06月11日

嗨，爱思考的PZer你好：


同学你好，

1，这个put option基础资产价格是40，执行价格也是40，他就是一个ATM的状态，所以delta对于long put来说就算-0.5

2，我不太理解你说的数学含义是什么。。。是从正负号的角度分析吗？原本头寸delta是负数，现在想要对冲，那就是再来个hedge的头寸，把总的头寸调整成为0，那么这个头寸的delta就要是正数，股票的delta是1，所以我们想要的就是正的delt头寸，那就是longstock。

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就算太阳没有迎着我们而来，我们正在朝着它而去，加油！

亚利 · 2023年06月11日

我懂了，谢谢老师

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