NO.PZ2016082404000031
问题如下：
Suppose an existing short option position is delta-neutral, but has a gamma of -600. Also assume that there exists a traded option with a delta of 0.75 and a gamma of 1.50. In order to maintain the position gamma-neutral and delta- neutral, which of the following is the appropriate strategy to implement?
选项： Buy 400 options and sell 300 shares of the
underlying asset.
Buy 300 options and sell 400 shares of the underlying asset.
C.Sell 400 options and buy 300 shares of the underlying asset.
D.Sell 300 options and buy 400 shares of the underlying asset.
解释：
ANSWER: A
Because gamma is negative, we need to buy a call to increase the portfolio gamma back to zero. The number is 600/1.5 = 400 calls. This, however, will increase the delta from zero to 400 × 0.75 = 300. Hence, we must sell 300 shares to bring the delta back to zero. Note that positions in shares have zero gamma.
请问在第一步调整gamma neutral的时候， 我根据gamma hedge公式：N份option1 * gamma 1 + N份option2* gamma2 = 0 带入题目中的条件。
因为题目最开头说有一个“short position ”的option，所以我填‘N份option1’这项为-1。然后公式算出的答案N份option2=-400 (short 400份），显然与答案不同应该是long400 options
请老师指点一下 我这个思路错在哪里了。 题目一开始说有short position的option，难道公式中‘’N份option1’ 不用-1吗？ 谢谢
