问题如下:
Trader A purchases a down-and-out call with a strike price of USD 100 and a barrier at USD 96 from Trader B. Both traders need to unwind their delta hedge at the barrier. Which trader is more at risk if there is a price gap (discontinuity) that prevents them from exiting the trade at the barrier?
选项:
A.Trader A has the bigger risk.
B.Trader B has the bigger risk.
C.They both have the same risk.
D.Neither trader has any risk because both are hedged.
解释:
Each trader replicates dynamically the down-and-out call as a hedge. Trader B sold the option, so needs to replicate a long position in this call. The hedge ratio for a down-and-out call resembles the usual one except that it has an abrupt discontinuity, dropping to zero below the barrier. Just above the barrier, Trader B is long the asset in the amount of the hedge ratio (e.g., 0.4). When the price jumps down below the barrier, Trader B will be stuck with a large loss. Intuitively, this loss is the gain to Trader A, who has the opposite position.
请问这里如何推出的标的资产的空头+call的多头?标的资产的多头+call的空头?