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TONY陈yuhan · 2018年11月07日

问一道题:NO.PZ2016070202000026 [ FRM II ]

问题如下图:

选项:

A.

B.

C.

D.

b选项 call option到期行权利润为什么没有d选项大呢?

1 个答案

品职答疑小助手雍 · 2018年11月08日

同学你好,这题考的不是期权利润而是动态对冲的理念,ATM的option的delta大致是在0.5的,这时候gamma最大,一旦underlying上升或者下降,ITM或者OTM的option的delta都会有显著变化,导致对冲的头寸需要调整,增加成本,而一直围绕行权价波动的话,delta一直是0.5左右,对冲的头寸比较稳定,成本就比较低。

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