1
问题如下图：
选项：
A. 
B. 
C. 
D. 
解释：
按照BSM公式，[ Ln(50/49)+(0.05+0.5*0.2*0.2)*3/12]/(0.2*根号下3/12)， 我这个公式是对的吧？ 计算出来d1大概在0.35左右，查表也是0.63了
NO.PZ2016082404000030 问题如下 A bank hsold US300,000 of call options on 100,000 equities. The equities tra 50, the option strike priis 49, the maturity is in three months, volatility is 20%, anthe interest rate is 5%. How es the bank lta-hee? Buy 65,000 shares Buy 100,000 shares Buy 21,000 shares Sell 100,000 shares ANSWER: This is at-the-money option with a lta of about 0.5. Sinthe bank solcalls, it nee to lta-hee buying the shares. With a lta of 0.5, it woulneeto buy approximately 50,000 shares. Answer A is the closest. Note thmost other information is superfluous. 题目中X = 49, ST = 50， 这明明是 in the money啊？
NO.PZ2016082404000030 问题如下 A bank hsold US300,000 of call options on 100,000 equities. The equities tra 50, the option strike priis 49, the maturity is in three months, volatility is 20%, anthe interest rate is 5%. How es the bank lta-hee? Buy 65,000 shares Buy 100,000 shares Buy 21,000 shares Sell 100,000 shares ANSWER: This is at-the-money option with a lta of about 0.5. Sinthe bank solcalls, it nee to lta-hee buying the shares. With a lta of 0.5, it woulneeto buy approximately 50,000 shares. Answer A is the closest. Note thmost other information is superfluous. “这个意思就是我们需要买入call option标的物的股票数量的50%来进行对冲，也就是100000股股票的50%，等于买入50000股股票。”怎么理解这句话?Δ的含义不是ΔC/ΔP，是P变动对C的影响。那怎么能用Δ=多少确定对冲数量呢？
NO.PZ2016082404000030问题如下 A bank hsold US300,000 of call options on 100,000 equities. The equities tra 50, the option strike priis 49, the maturity is in three months, volatility is 20%, anthe interest rate is 5%. How es the bank lta-hee? Buy 65,000 shares Buy 100,000 shares Buy 21,000 shares Sell 100,000 shares ANSWER: This is at-the-money option with a lta of about 0.5. Sinthe bank solcalls, it nee to lta-hee buying the shares. With a lta of 0.5, it woulneeto buy approximately 50,000 shares. Answer A is the closest. Note thmost other information is superfluous. 答案中的5000是怎么出来的
NO.PZ2016082404000030问题如下 A bank hsold US300,000 of call options on 100,000 equities. The equities tra 50, the option strike priis 49, the maturity is in three months, volatility is 20%, anthe interest rate is 5%. How es the bank lta-hee? Buy 65,000 shares Buy 100,000 shares Buy 21,000 shares Sell 100,000 shares ANSWER: A This is an at-the-money option with a lta of about 0.5. Sinthe bank solcalls, it nee to lta-hee buying the shares. With a lta of 0.54, it woulneed to buy approximately 50,000 shares. Answer A is the closest. Note thmost other information is superfluous. 答案054是怎么出来的？
NO.PZ2016082404000030问题如下 A bank hsold US300,000 of call options on 100,000 equities. The equities tra 50, the option strike priis 49, the maturity is in three months, volatility is 20%, anthe interest rate is 5%. How es the bank lta-hee? Buy 65,000 shares Buy 100,000 shares Buy 21,000 shares Sell 100,000 shares ANSWER: A This is an at-the-money option with a lta of about 0.5. Sinthe bank solcalls, it nee to lta-hee buying the shares. With a lta of 0.54, it woulneed to buy approximately 50,000 shares. Answer A is the closest. Note thmost other information is superfluous. nc*ltac+ns*ltas=0lta=0.648，是期权的lta还是股票的lta
