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NO.PZ2019010402000030 问题如下 A manager owns 500 shares of stoXYZ, the portfolio lta is 500, lt= 0.548, ltap= -0.622. The manger coulimplement lta hee by: selling 912 call options buying 912 call options selling 804 put options A is correct.考点lta hee解析如果hee工具是call,根据公式NH =- Portfolio lta/lt=-500/0.548=-912,负号代表short,所以应该short 912 份call。如果hee工具是Put,根据公式NH =- Portfolio lta/lt=-500/(-0.622)=804,正号代表long,所以应该long 804份put。 根据portfolio=long sto+ short call即portfolio=ns*S0+nc*C0要使△p/△S=ns*△S0/△S+nc*△C0/△S=0已知ns=500,△C0/△S=0.548则500*1+nc*0.548=0求得nc=-912,即short 912份call
NO.PZ2019010402000030问题如下 A manager owns 500 shares of stoXYZ, the portfolio lta is 500, lt= 0.548, ltap= -0.622. The manger coulimplement lta hee by: selling 912 call options buying 912 call options selling 804 put options A is correct.考点lta hee解析如果hee工具是call,根据公式NH =- Portfolio lta/lt=-500/0.548=-912,负号代表short,所以应该short 912 份call。如果hee工具是Put,根据公式NH =- Portfolio lta/lt=-500/(-0.622)=804,正号代表long,所以应该long 804份put。portfolio lta原版书有这个概念吗?还是品职自编的?原版书截图发一下谢谢
NO.PZ2019010402000030 问题如下 A manager owns 500 shares of stoXYZ, the portfolio lta is 500, lt= 0.548, ltap= -0.622. The manger coulimplement lta hee by: selling 912 call options buying 912 call options selling 804 put options A is correct.考点lta hee解析如果hee工具是call,根据公式NH =- Portfolio lta/lt=-500/0.548=-912,负号代表short,所以应该short 912 份call。如果hee工具是Put,根据公式NH =- Portfolio lta/lt=-500/(-0.622)=804,正号代表long,所以应该long 804份put。 谢谢!
NO.PZ2019010402000030问题如下 A manager owns 500 shares of stoXYZ, the portfolio lta is 500, lt= 0.548, ltap= -0.622. The manger coulimplement lta hee by: selling 912 call options buying 912 call options selling 804 put options A is correct.考点lta hee解析如果hee工具是call,根据公式NH =- Portfolio lta/lt=-500/0.548=-912,负号代表short,所以应该short 912 份call。如果hee工具是Put,根据公式NH =- Portfolio lta/lt=-500/(-0.622)=804,正号代表long,所以应该long 804份put。根据lta put 的计算公式: lta put = lta call - 1 = 0.548 - 1 = -0.452但这里lta put 给的值是-0.622请问老师为什么和计算结果不同
NO.PZ2019010402000030 问题如下 A manager owns 500 shares of stoXYZ, the portfolio lta is 500, lt= 0.548, ltap= -0.622. The manger coulimplement lta hee by: selling 912 call options buying 912 call options selling 804 put options A is correct.考点lta hee解析如果hee工具是call,根据公式NH =- Portfolio lta/lt=-500/0.548=-912,负号代表short,所以应该short 912 份call。如果hee工具是Put,根据公式NH =- Portfolio lta/lt=-500/(-0.622)=804,正号代表long,所以应该long 804份put。 这道题只能用short call一种方式来对冲是吧,因为持有share所以,没法用put来实现对冲?