NO.PZ2019070101000026
问题如下：
When the delta of a long call option is 0.2, which of the following should take to effectively do the hedge?
选项：
A.Long five shares of the underlying stocks for each long call option .
B.Short five shares of the underlying stocks for each long call option .
C.Long the number of shares of the underlying stocks equal to 1/5 the options bought.
D.Short the number of shares of the underlying stocks equal to 1/5 the options bought.
解释：
D is correct.
考点：Delta Hedge-Calculation
解析：为了对冲买入看涨期权的头寸，需要卖出股票资产，卖出的具体数量等于delta × number of options. 所以卖出的数量等于0.2*option number, 因此D选项正确。
Delta = delta C/ delta S = Ns / Nc最后这个是什么公式推出来的？
