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

胖胖 · 2023年10月15日

h shares

NO.PZ2023020101000025

问题如下:

Arnie Burr is CEO and chief investment officer of Princeton Capital, a registered investment advisory firm. He is working with Tom Jeffinsin, head trader, and Jim Madisox, a new analyst. They meet to discuss option valuation methodologies in the context of the firm’s use of derivatives to manage client portfolios.

Burr begins the discussion by stating that the Black–Scholes–Merton (BSM) model is a relatively straightforward tool for valuing options despite its rigorous computational components. Burr writes the BSM model on the firm’s whiteboard, presented as Exhibit 1.

Exhibit 1: BSM Model for Options on Non-Dividend Paying Stocks

Burr wants to assess Madisox’s comprehension of the components of the BSM. Madisox states that a call option can be viewed as a leveraged position in the underlying stock. To replicate a call option, the appropriate strategy is to purchase N(d1) shares and simultaneously borrow an amount erTXN(–d2).

Madisox’s statement about the BSM model is least likely correct with respect to:

选项:

A.

purchasing N(d1) shares.

B.

the leveraged position in a stock.

C.

borrowing an amount e–rTXN(–d2).

解释:

With respect to a call option, Madisox is incorrect with respect to his comment to simultaneously borrow an amount e–rTXN(–d2). To create a leveraged position in a stock, the correct components are to purchase N(d1) shares by borrowing an amount e–rTXN(d2). The term e–rTXN(–d2) represents the amount lent when purchasing a put option.

N(d1) is probability.


不是因该买h shares, 不是买 N(d1) shares。

1 个答案

李坏_品职助教 · 2023年10月15日

嗨,爱思考的PZer你好:


N(d1)就是看涨期权的Delta, 也就是hedge ratio。可以去看一下BSM公式,call option的价格对股票价格求一阶偏导数就是N(d1)。

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

  • 1

    回答
  • 0

    关注
  • 315

    浏览
相关问题

NO.PZ2023020101000025 问题如下 Arnie Burr is CEO anchief investmentofficer of Princeton Capital, a registereinvestment aisory firm. He isworking with Tom Jeffinsin, hetrar, anJim Masox, a new analyst. Theymeet to scuss option valuation methologies in the context of the firm’s useof rivatives to manage client portfolios.Burr begins the scussion stating thatthe Black–Scholes–Merton (BSM) mol is a relatively straightforwartool forvaluing options spite its rigorous computationcomponents. Burr writes theBSM mol on the firm’s whiteboar presenteExhibit 1. Exhibit1: BSM Mol for Options on Non-vinPaying StocksBurrwants to assess Masox’s comprehension of the components of the BSM. Masox statestha call option cviewea leverageposition in the unrlyingstock. To replicate a call option, the appropriate strategy is to purchase N() shares animultaneously borrow amount e–rTXN(–).Masox’s statement about the BSM mol isleast likely correwith respeto: A.purchasingN() shares. B.theleverageposition in a stock. C.borrowingamount e–rTXN(–). With respeto a call option, Masox isincorrewith respeto his comment to simultaneously borrow amount e–rTXN(–).To create a leverageposition in a stock, the correcomponents are topurchase N() shares borrowing amount e–rTXN().The term e–rTXN(–) represents the amount lent whenpurchasing a put option. 您好,我对lenborrow这个背后的点有些迷糊,可否请老师指点一下知识点,和讲解一下。谢谢

2024-02-19 07:24 1 · 回答