NO.PZ2023020101000028
问题如下：
Newport has an endowment
that helps support the school financially. The school has learned the endowment
will be receiving a gift of 100,000 shares of Global Industries (GI) stock in
one month. IST recommends the use of a one-month options position to hedge
against a material price decline on the stock during this period. Exhibit 2
lists the relevant GI stock and option characteristics.
Exhibit 2 GI Stock and Option Information
Assuming one option per share, an
appropriate delta hedge for the GI stock would most likely be to:
选项：
A.sell 168,010
calls.
sell 148,428
calls.
C.
buy 40,100 puts.
解释：
The call delta is
0.5952. The number of calls to hedge 100,000 shares is calculated as 1/0.5952 =
168,010. An appropriate hedge for 100,000 shares of stock with a delta of 1
would be to sell 168,010 calls.
B is incorrect. This
assumes DeltaH (used when selling calls against 100,000 short puts) should be
used. The portfolio delta is 1 and the put delta is –0.4010 and DeltaH =
–0.6737 (or –0.4010/0.5952), which would be used when hedging a short position
of puts on 100,000 shares of stock. Using calls, the number of hedging units is
1/–0.6737; 1/0.6737 = 148,428.
C is incorrect. The
correct number of puts to purchase is calculated as 1/Delta put or 249,376
puts.
这道题给出的条件是
IST recommends the use of a one-month options position to hedge against a material price decline on the stock during this period.
为了对冲股票价格下降的风险，应该是long put啊，为啥最后的结果是sell call呢？
咱们计算的时候，是不是先用put计算一下，发现答案对不上，然后再转求call的头寸啊？是这道题出的有问题，还是就是这样考察这个知识点呢？
