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我们 · 2020年04月15日

问一道题:NO.PZ2016070202000028

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?

1 个答案

品职答疑小助手雍 · 2020年04月15日

同学你好,因为Trader A 买了一个down-and-out call,而B作为对手方就是卖出的一方。

后面说Both traders need to unwind their delta hedge at the barrier. 他俩都要对冲这个风险。

对A来说买call要对冲就要short underlying,对B则相反。