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wuzx · 2022年04月07日

如果套公式的话怎么做？

  1. FRM I
  2. Financial Markets And Products

NO.PZ2016082404000030

问题如下：

A bank has sold USD 300,000 of call options on 100,000 equities. The equities trade at 50, the option strike price is 49, the maturity is in three months, volatility is 20%, and the interest rate is 5%. How does the bank delta-hedge?

选项：

A.

  Buy 65,000 shares

B.

  Buy 100,000 shares

C.

  Buy 21,000 shares

D.

  Sell 100,000 shares

解释：

ANSWER: A

This is an at-the-money option with a delta of about 0.5. Since the bank sold calls, it needs to delta-hedge by buying the shares. With a delta of 0.54, it would need to buy approximately 50,000 shares. Answer A is the closest. Note that most other information is superfluous.

老师请问是 用哪个公式

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1 个答案

李坏_品职助教 · 2022年04月07日

嗨，爱思考的PZer你好：


这道题不需要套公式，首先这是一个at-the-money的看涨期权，at the money意思是股票价格和行权价很接近几乎一样，此时call option的delta是0.5.

这个意思就是我们需要买入call option标的物的股票数量的50%来进行对冲，也就是100000股股票的50%，等于买入50000股股票。


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