NO.PZ2023041003000060
问题如下：
She decides that it would
be prudent to temporarily hedge the 100,000 shares of Apoth she owns until the
outcome of the FDA’s review is complete.
“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 new pharmaceutical.”
Using the data
from Exhibit 2, the number of option X contracts that Klein would have to sell
to implement the hedge strategy would be closest to:
选项：
A.30,000.
333,333
476,190.
解释：
The required
number of call options to sell = Number of shares of underlying to be
hedged/N(d1), where N(d1) is the estimated delta used for hedging a position
with call options. There are 100,000 shares to be hedged and the N(d1) for
Option X from Exhibit 2is 0.30. Thus, the required number of call options to
sell is 100,000/0.30 = 333,333.
题目要求hedge long stock用short call， 四个选项中option Y & Z可以排除，因为是put option.
为什么不选option W? 如果用option W, -100，000/N(d1)0.56=178,571。
是因为没有这个选项，只能选OptionX的Nd1对应的333,333吗？ 谢谢
