NO.PZ2023091802000149
问题如下：
Initially, the call option on Big Kahuna Inc. with 90 days to maturity trades at USD 1.40. The option has a delta of 0.5739. A dealer sells 200 call option contracts, and to delta-hedge the position, the dealer purchases 11,478 shares of the stock at the current market price of USD 100 per share. The following day, the prices of both the stock and the call option increase. Consequently, delta increases to 0.7040. To maintain the delta hedge, the dealer should:
选项：
A.sell 2602 shares
B.sell 1493 shares
C.purchase 1493 shares
D.purchase 2602 shares
解释：
Changes
of Stock number = (0.7040 – 0.5739) × 200 × 100 = 2602
