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saimeiei · 2019年08月16日

问一道题：NO.PZ2016082404000030

  1. FRM I
  2. Financial Markets And Products

问题如下图：

    

选项：

A.

B.

C.

D.

解释：


老师你好，不太理解这道题的意思以及解题思路

1、题目是说要卖300000的call option吗？标的物是100000的股票吗？

2、如果近似delta call =0.5，那么需要怎么操作现货？是300000/delta call?

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已采纳答案

品职答疑小助手雍 · 2019年08月16日

同学你好，1.意思是收了300000的钱卖了100000只股票的call option，也就是每个option的单价是3块钱。

delta长不多等于0.5，也就是你现在这个call option的头寸差不多是股价上升1%，它这个short option的头寸就亏0.5%。

现在目的是要hedge这个变动，而且equity的delta=1，所以就买delta*100000的股票来对冲这个变动风险。

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