问题如下：
A non-dividend-paying stock has a current price of $100 per share. You have just sold a six-month European call option contract on 100 shares of this stock at a strike price of $101 per share. You want to implement a dynamic delta-hedging scheme to hedge the risk of having sold the option. The option has a delta of 0.50. You believe that delta would fall to 0.44 if the stock price falls to $99 per share. Identify what action you should take now (i.e., when you have just written the option contract) to make your position delta- neutral. After the option is written, if the stock price falls to $99 per share, identify what action should be taken at that time (i.e., later) to rebalance your delta-hedged position.
选项：
A.Now: buy 50 shares of stock; later: buy 6 shares of stock.
B.Now: buy 50 shares of stock; later: sell 6 shares of stock.
C.Now: sell 50 shares of stock; later: buy 6 shares of stock.
D.Now: sell 50 shares of stock; later: sell 6 shares of stock.
解释：
The answer is B.
The dynamic hedge should replicate a long position in the call. Due to the positive delta, this implies a long position of Δ×100=50 shares. If the delta falls, the position needs to be adjusted by selling shares.
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