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天王老子 · 2019年09月12日

问一道题:NO.PZ2016082404000037 [ FRM I ]

问题如下图:sell 短期option 来对冲theta这个理解了,A选项后面半句,即然波动不舒服,降低波动,不该是sell 长期option来对冲vega?请指正

选项:

A.

B.

C.

D.

解释:

1 个答案

orange品职答疑助手 · 2019年09月13日

同学你好,因为他是想对冲呀,他担心未来隐波会上升,所以他应该进入一个隐波上升会给他带来收益的头寸,因此他会long一个期权(long期权会带来正的vega,且time to maturity越长,vega越大)

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