NO.PZ2023041003000061
问题如下：
The best strategy to hedge
your shares in Apoth would be to buy 6-month European put options to protect from
a loss if the FDA rejects Apoth’s newpharmaceutical.
If Klein
implemented Gupta’s recommendation using Option Z from Exhibit 2 and Apoth’s share price subsequently dropped to $36, Klein would most
likely need to take the following action to maintain the same hedged
position:
选项：
A.Sell options because the put delta has become less negative.
Sell options because the put delta has become more negative.
Buy options because the put delta has become more negative.
解释：
The required number
of put options = Number of shares of underlying to be hedged/[N(d1)
-1], where N(d1) -1 is the estimateddelta used for hedging a
position with put options (otherwise known as the put delta). As the share
price drops to $36, the delta of a put positionwill decrease toward –1.0,
requiring less put options than the original position.
请问助教，已知delta put=1-delta call=1-N（d1）=-N(-d1)
但为什么这道题的答案和李老师讲解视频里，都是delta put = N（d1）-1。 是为什么呢？
