开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)|3.2.5(安卓)APP下载

云梦 · 2021年08月08日

这题的公式基本原理还是不太明白

NO.PZ2018122701000048

问题如下:

A portfolio manager owns a portfolio of options on a non-dividend paying stock RTX. The portfolio is made up of 10,000 deep in-the-money call options on RTX and 50,000 deep out-of-the money call options on RTX. The portfolio also contains 20,000 forward contracts on RTX. RTX is trading at USD 100. If the volatility of RTX is 30% per-year, which of the following amounts would be closest to the 1-day VaR of the portfolio at the 95 percent confidence level, assuming 252 trading days in a year?

选项:

A.

USD 932

B.

USD 93,263

C.

USD 111,122

D.

USD 131,892

解释:

B is correct.

考点 Mapping to Option Position

解析 We need to map the portfolio to a position in the underlying stock RTX. A deep in-the-money call has a delta of approximately 1, a deep out-of-the-money call has delta of approximately 0 and forwards have a delta of 1. The net portfolio has a delta of about 30,000 and is approximately gamma neutral. The 1-day VaR estimate at 95 percent confidence level is computed as follows:

α×S××σ×SQRT(1/T)=1.645×100×30000×0.3×SQRT(1/252)=93263

老师好,看了之前的对这题的回复还是不太明白。这题是用VAR(dc)=|Δ|*VAR(ds)这个公式算的吧?那|Δ|=?,VAR(ds)=? 能不能再分步骤具体讲解一下。VAR(ds)是不是应该用-μ+Zα*σ来计算?其中Zα=1.645 ,σ=题中的σ/根号天数。

1 个答案
已采纳答案

品职答疑小助手雍 · 2021年08月08日

嗨,爱思考的PZer你好:


不要看那个回答了,也不用套公式去对应。

非要套进公式里的话,只是说公式里mapping的结果是var(dc),一个表示符号而已。

把option和forward的delta mapping完,加起来就是portfolio的var了。

计算过程如下:

deep ITM的call的delta是1,OTM的call的delta是0,forward的delta是1.组合整体的delta就是30000。

日波动率计算跟你说的一样0.3/根号下252。

那var就是1.645*100*30000*日波动率就行了。

----------------------------------------------
努力的时光都是限量版,加油!

  • 1

    回答
  • 0

    关注
  • 692

    浏览
相关问题

NO.PZ2018122701000048问题如下 A portfolio manager owns a portfolio of options on a non-vinpaying stoRTX. The portfolio is ma up of 10,000 ep in-the-money call options on RTX an50,000 ep out-of-the money call options on RTX. The portfolio also contains 20,000 forwarcontracts on RTX. RTX is trang US100. If the volatility of RTX is 30% per-year, whiof the following amounts woulclosest to the 1-y Vof the portfolio the 95 percent confinlevel, assuming 252 trang ys in a year? US932 US93,263 US111,122 US131,892 B is correct. 考点 Mapping to Option Position 解析 We neeto mthe portfolio to a position in the unrlying stoRTX. A ep in-the-money call ha lta of approximately 1, a ep out-of-the-money call hlta of approximately 0 anforwar have a lta of 1. The net portfolio ha lta of about 30,000 anis approximately gamma neutral. The 1-y Vestimate 95 percent confinlevel is computefollows:α×S×∆×σ×SQRT(1/T)=1.645×100×30000×0.3×SQRT(1/252)=93263 老师, 能一下 为什么lta gamma neutr? 这个 没看懂

2024-09-17 02:06 1 · 回答

NO.PZ2018122701000048 问题如下 A portfolio manager owns a portfolio of options on a non-vinpaying stoRTX. The portfolio is ma up of 10,000 ep in-the-money call options on RTX an50,000 ep out-of-the money call options on RTX. The portfolio also contains 20,000 forwarcontracts on RTX. RTX is trang US100. If the volatility of RTX is 30% per-year, whiof the following amounts woulclosest to the 1-y Vof the portfolio the 95 percent confinlevel, assuming 252 trang ys in a year? US932 US93,263 US111,122 US131,892 B is correct. 考点 Mapping to Option Position 解析 We neeto mthe portfolio to a position in the unrlying stoRTX. A ep in-the-money call ha lta of approximately 1, a ep out-of-the-money call hlta of approximately 0 anforwar have a lta of 1. The net portfolio ha lta of about 30,000 anis approximately gamma neutral. The 1-y Vestimate 95 percent confinlevel is computefollows:α×S×∆×σ×SQRT(1/T)=1.645×100×30000×0.3×SQRT(1/252)=93263 为什么lta是30000,为什么是用lta normal,没懂

2024-02-15 10:51 1 · 回答

NO.PZ2018122701000048 问题如下 A portfolio manager owns a portfolio of options on a non-vinpaying stoRTX. The portfolio is ma up of 10,000 ep in-the-money call options on RTX an50,000 ep out-of-the money call options on RTX. The portfolio also contains 20,000 forwarcontracts on RTX. RTX is trang US100. If the volatility of RTX is 30% per-year, whiof the following amounts woulclosest to the 1-y Vof the portfolio the 95 percent confinlevel, assuming 252 trang ys in a year? US932 US93,263 US111,122 US131,892 B is correct. 考点 Mapping to Option Position 解析 We neeto mthe portfolio to a position in the unrlying stoRTX. A ep in-the-money call ha lta of approximately 1, a ep out-of-the-money call hlta of approximately 0 anforwar have a lta of 1. The net portfolio ha lta of about 30,000 anis approximately gamma neutral. The 1-y Vestimate 95 percent confinlevel is computefollows:α×S×∆×σ×SQRT(1/T)=1.645×100×30000×0.3×SQRT(1/252)=93263 VaR()=区间调整*σ*日子调整*股票价格,没有太理解

2023-03-28 10:14 1 · 回答

NO.PZ2018122701000048 问题如下 A portfolio manager owns a portfolio of options on a non-vinpaying stoRTX. The portfolio is ma up of 10,000 ep in-the-money call options on RTX an50,000 ep out-of-the money call options on RTX. The portfolio also contains 20,000 forwarcontracts on RTX. RTX is trang US100. If the volatility of RTX is 30% per-year, whiof the following amounts woulclosest to the 1-y Vof the portfolio the 95 percent confinlevel, assuming 252 trang ys in a year? US932 US93,263 US111,122 US131,892 B is correct. 考点 Mapping to Option Position 解析 We neeto mthe portfolio to a position in the unrlying stoRTX. A ep in-the-money call ha lta of approximately 1, a ep out-of-the-money call hlta of approximately 0 anforwar have a lta of 1. The net portfolio ha lta of about 30,000 anis approximately gamma neutral. The 1-y Vestimate 95 percent confinlevel is computefollows:α×S×∆×σ×SQRT(1/T)=1.645×100×30000×0.3×SQRT(1/252)=93263 如果是in the money或out the money put的话,Δ应该是多少呢

2022-10-16 22:42 1 · 回答

NO.PZ2018122701000048 问题如下 A portfolio manager owns a portfolio of options on a non-vinpaying stoRTX. The portfolio is ma up of 10,000 ep in-the-money call options on RTX an50,000 ep out-of-the money call options on RTX. The portfolio also contains 20,000 forwarcontracts on RTX. RTX is trang US100. If the volatility of RTX is 30% per-year, whiof the following amounts woulclosest to the 1-y Vof the portfolio the 95 percent confinlevel, assuming 252 trang ys in a year? US932 US93,263 US111,122 US131,892 B is correct. 考点 Mapping to Option Position 解析 We neeto mthe portfolio to a position in the unrlying stoRTX. A ep in-the-money call ha lta of approximately 1, a ep out-of-the-money call hlta of approximately 0 anforwar have a lta of 1. The net portfolio ha lta of about 30,000 anis approximately gamma neutral. The 1-y Vestimate 95 percent confinlevel is computefollows:α×S×∆×σ×SQRT(1/T)=1.645×100×30000×0.3×SQRT(1/252)=93263 两个问题。第1个问题,这题先求NET的position,因为ep-in-the-money的call opt的lta是1,ep-out-of-the-money的call opt的lta是0,forwarcontract的lta是1,所以就考虑lta是1的这两个的仓位,一个仓位是10000一个是20000,一共是30000,这是正确的理解。也就是答案的这一句 A ep in-the-money call ha lta of approximately 1, a ep out-of-the-money call hlta of approximately 0 anforwar have a lta of 1. 但随后答案有问题了,它说The net portfolio ha lta of about 30,000 。这怎么能是lta 是30000呢?这是lta 是1的net position有30000份啊。第2个问题,假如这题改一下,ep in-the-money的call opt还是10000份,另一份 call不是ep out-of-the-money,而是lta是0.5的一点点out-of-the-money,请问该如何处理?是不是用0.5乘以它这个资产的份数50000得到25000,然后加上刚才那些?另外如果这个0.5不是一点点out-of-the-money,而是一点点in-the-money的,也这么计算吗,在相加的时候符号需要取负号吗?

2022-09-19 23:24 1 · 回答