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天王老子 · 2019年09月12日

问一道题：NO.PZ2016082404000034 [ FRM I 

  1. FRM I
  2. Financial Markets And Products

问题如下图：]题干哪里看出要找gamma和vega最大的条件？

选项：

A.

B.

C.

D.

解释：

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1 个答案

orange品职答疑助手 · 2019年09月13日

同学你好，确实，它如果多说一句long较多的gamma、short较多的vega，会好一些

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NO.PZ2016082404000034问题如下 Steve, a market risk manager MarcSecurities, is analyzing the risk of its S&P 500 inx options trang sk. His risk report shows the sk is net long gamma and short vegWhiof the following portfolios of options shows exposures consistent with this report?   The sk hsubstantilong-expiry long call positions ansubstantishort-expiry short put positions.   The sk hsubstantilong-expiry long put positions ansubstantilong-expiry short call positions.   The sk hsubstantilong-expiry long call positions ansubstantishort-expiry short call positions.   The sk hsubstantishort-expiry long call positions ansubstantilong-expiry short call positions. ANSWER: D Long gamma means ththe portfolio is long options with high gammtypically short-term (short-expiry) ATM options. Short vega means ththe portfolio is short options with high vegtypically long-term (long-expiry) ATM options. 请问这是基础课哪一块知识

2023-03-31 14:21 1 · 回答

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2023-01-06 21:36 1 · 回答

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2021-11-14 13:33 1 · 回答

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