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.
B.
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.
如题，解答里是说delta 为1，但要hedge 风险，不应该是让portfolio delta 为0的一阶导？
