问题如下图:
选项:
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解释:
想把这个问题再清楚理解,Delta normal不适合option的原因是什么?Delta gamma适合option吗? 为什么mapping里面option是用local valuation算出来的呢?是因为书上只是讲原理,实际应用中是不适合的是吗?NO.PZ2016070202000018 问题如下 Whiof the following statements about Vestimation metho is wrong? A.The lta-normVmethois more reliable for portfolios thimplement portfolio insuranthrough namic heing thfor portfolios thimplement portfolio insuranthrough the purchase of put options. B.The full-valuation Vmethobaseon historicta is more reliable for large portfolios thcontain significant option-like investments ththe lta-normVmetho C.The lta-normVmethocunrstate the true Vfor stoportfolios when the stribution of the return of the stocks hhigh kurtosis. Full-valuation Vmetho baseon historicta take into account nonlinerelationships between risk factors ansecurity prices. Full-valuation metho are more precise for portfolios with options, so answers B anare correct. The lta-normVunrstates the risk when stributions have ftails, so answer C is correct. Answer A is inewrong. The lta-normmethowill poor for outright positions in options, or their namic replication. 请问每种metho用于什么样的portfolio这个内容在哪里?
NO.PZ2016070202000018 The full-valuation Vmethobaseon historicta is more reliable for large portfolios thcontain significant option-like investments ththe lta-normVmetho The lta-normVmethocunrstate the true Vfor stoportfolios when the stribution of the return of the stocks hhigh kurtosis. Full-valuation Vmetho baseon historicta take into account nonlinerelationships between risk factors ansecurity prices. Full-valuation metho are more precise for portfolios with options, so answers B anare correct. The lta-normVunrstates the risk when stributions have ftails, so answer C is correct. Answer A is inewrong. The lta-normmethowill poor for outright positions in options, or their namic replication. 老师解析中的outright position是什么意思
NO.PZ2016070202000018 老师能一下这道题吗?四个几乎都不太理解
NO.PZ2016070202000018 No.PZ2016070202000017 老师可以讲解lta normv中怎么理解B和the money 和 即将到期 的影响是什么 C的含义是什么
A为什么错呢,A里面说动态对冲比买put更好,怎么判断呢,lta normal对于两种都差,那怎么对比谁更差?