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pengyaning · 2023年10月22日

delta neutral

NO.PZ2023091802000145

问题如下:

A bank has sold USD 300,000 of call options on 100,000 equities. The equities trade at 50, the option strike price is 49, the maturity is in three months, volatility is 20%, and the interest rate is 5%. How does the bank delta-hedge?

选项:

A.

Buy 65,000 shares.

B.

Buy 100,000 shares.

C.

Buy 21,000 shares.

D.

Sell 100,000 shares.

解释:

This is an at-the-money option with a delta of about 0.5. Since the bank sold calls, it needs to delta-hedge by buying the shares. With a delta of 0.54, it would need to buy approximately 50,000 shares. Answer A is the closest. Note that most other information is superfluous.

此题如果按照公式:ns=-nc*delta,ns=-300000*0.54=162000,解析中nc代入的是100000,为什么?

1 个答案

pzqa27 · 2023年10月23日

嗨,从没放弃的小努力你好:


一般来说一个call的标的物是一个股票,题目说A bank has sold USD 300,000 of call options on 100,000 equities.因此对应的应该是100,000的call option

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