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ZF Everyday · 2021年04月16日

为什么不直接用put的delta计算公式？

  1. FRM I
  2. Financial Markets And Products

NO.PZ2020021205000039

问题如下：

What is the delta of a short position on 100,000 call options on a stock with a market price and strike price of USO 40 when the risk-free rate is 5%, the volatility is 22%, and the time to maturity is nine months?

选项：

解释：

The delta of a long position in one option is N(d1 ). In this case:

d1=ln⁡(40/40)  +  (0.05  +  0.222/2)  X  0.750.220.75\frac{\ln(40/40)\;+\;(0.05\;+\;0.22^2/2)\;X\;0.75}{0.22\sqrt{0.75}}\\= 0.2921

so that N(d1 ) = 0.615. The delta of a short position in one option is -0.615 and the delta of a short position in 100,000 options is -61,500.

李老师推导的是delta call=n(d1) delta put=n(d1)-1

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品职答疑小助手雍 · 2021年04月17日

嗨，爱思考的PZer你好：


这题和put没啥关系额，一个long call的delta是XXX，那short的头寸就是负XXX喽。

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

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NO.PZ2020021205000039 问题如下 Whis the lta of a short position on 100,000 call options on a stowith a market prianstrike priof USO 40 when the risk-free rate is 5%, the volatility is 22%, anthe time to maturity is nine months?p.p1 {margin: 0.0px 0.0px 0.0px 0.0px; font: 9.0px Helveticcolor: #463e44}span.s1 {color: #495566}span.s2 {color: #675248} The lta of a long position in one option is N( ). In this case:=ln⁡(40/40)  +  (0.05  +  0.222/2)  X  0.750.220.75\frac{\ln(40/40)\;+\;(0.05\;+\;0.22^2/2)\;X\;0.75}{0.22\sqrt{0.75}}\\0.220.75​ln(40/40)+(0.05+0.222/2)X0.75​= 0.2921p.p1 {margin: 0.0px 0.0px 0.0px 0.0px; font: 9.0px Helveticcolor: #3e3a44}span.s1 {color: #6b696b}so thN( ) = 0.615. The lta of a short position in one option is -0.615 anthe lta of a short position in 100,000 options is -61,500.p.p1 {margin: 0.0px 0.0px 0.0px 0.0px; font: 9.0px Helveticcolor: #464249}p.p2 {margin: 0.0px 0.0px 0.0px 0.0px; font: 8.5px Helveticcolor: #46444f}p.p3 {margin: 0.0px 0.0px 0.0px 0.0px; font: 9.0px Helveticcolor: #46444f}p.p4 {margin: 0.0px 0.0px 0.0px 0.0px; font: 9.0px Helveticcolor: #565456}p.p5 {margin: 0.0px 0.0px 0.0px 0.0px; font: 9.0px Helveticcolor: #413c41}p.p6 {margin: 0.0px 0.0px 0.0px 0.0px; font: 9.0px Helveticcolor: #4a4347}span.s1 {color: #303c63}span.s2 {font: 6.0px Helvetica}span.s3 {color: #4b5a6e}span.s4 {font: 7.0px Helvetica}span.s5 {font: 6.0px Helveticcolor: #515f7b}span.s6 {color: #6b696b}span.s7 {color: #3e3a44}span.s8 {color: #4b6 =0.2921,怎么推出 n的呀

2024-07-18 11:10 1 · 回答

NO.PZ2020021205000039 怎么看出来这个S的价格跟X的价格一样的？文中只是说了market price,但是没有说market pri就是执行价格啊，求解答，谢谢；

2021-05-08 13:30 1 · 回答

NO.PZ2020021205000039 请问，The lta of a long position in one option is N( ). The lta of a short position 不是1 -N( )吗？

2021-03-30 22:33 1 · 回答

可以用 S=K时 ，lta = 0.5 或者 -0.5 这样理解 吗？

2020-06-24 16:59 1 · 回答