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410140980 · 2022年11月03日

对冲的问题

  1. FRM II
  2. Market Risk Measurement And Management

NO.PZ2016070202000025

问题如下：

You are the risk manager of your bank responsible for the derivatives desk. A trader has sold 300 call option contracts each on 100 shares of Nissan Motors with time to maturity of 90 days at USD 1.80. The delta of the option on one share is 0.60. You have hedged the option exposure by buying 18,000 shares of the underlying. The next day, the stock price falls and the delta of the options falls to 0.54. In order to keep the options hedged, you have to

选项：

A.

Buy 1,800 shares of Nissan Motors

B.

Sell 1,800 shares of Nissan Motors

C.

Buy 1,080 shares of Nissan Motors

D.

Sell 1,080 shares of Nissan Motors

解释：

First, we verify that the initial amount purchased is correct. This is 0.60×300×100=18,0000.60\times300\times100=18,000 shares. If the delta falls to 0.54, or by 0.06, the risk manager will have to sell 0.06×300×100=1,8000.06\times300\times100=1,800 shares.

老师这道题我理解的是现在有300份的期权合约，每份合约对应100股，所以需要30000股去对冲期权。由于 NS*△S+NC*△C=0 NC=-ns/delta = -30000/0.6=-50000，所以需要short 5w期权

现在delta变化成0.54，所以需要short 30000/0.54=5.5w期权

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1 个答案

pzqa27 · 2022年11月03日

嗨，努力学习的PZer你好：


首先，这个题选项压根没有卖期权的选项。

其次，这个题目manager最初只是卖了300份期权，您现在要卖5.5万的期权，这明显是不合理的

最后，我们在1级就学过，short 1份的call 要long Δ份的股票来对冲，您说是现在有300份的期权合约，每份合约对应100股，所以需要30000股去对冲期权，您这意思是short 1份call ，long 1份的股票对冲，这个也是不合理的

所以请按解析的思路来理解这个题目

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NO.PZ2016070202000025问题如下You are the risk manager of your bank responsible for the rivatives sk. A trar hsol300 call option contracts eaon 100 shares of NissMotors with time to maturity of 90 ys US1.80. The lta of the option on one share is 0.60. You have heethe option exposure buying 18,000 shares of the unrlying. The next y, the stoprifalls anthe lta of the options falls to 0.54. In orr to keep the options hee you have toA.Buy 1,800 shares of NissMotorsB.Sell 1,800 shares of NissMotorsC.Buy 1,080 shares of NissMotorsSell 1,080 shares of NissMotorsFirst, we verify ththe initiamount purchaseis correct. This is 0.60×300×100=18,0000.60\times300\times100=18,0000.60×300×100=18,000 shares. If the lta falls to 0.54, or 0.06, the risk manager will have to sell 0.06×300×100=1,8000.06\times300\times100=1,8000.06×300×100=1,800 shares.讲义section7老师，这个跟regression hee中的公式不一样啊，请问这是讲义上哪个知识点。以后每个题目的解析能不能写出题目对应讲义的知识点哦

2024-02-14 08:03 2 · 回答

NO.PZ2016070202000025 Sell 1,800 shares of NissMotors Buy 1,080 shares of NissMotors Sell 1,080 shares of NissMotors First, we verify ththe initiamount purchaseis correct. This is 0.60×300×100=18,0000.60\times300\times100=18,0000.60×300×100=18,000 shares. If the lta falls to 0.54, or 0.06, the risk manager will have to sell 0.06×300×100=1,8000.06\times300\times100=1,8000.06×300×100=1,800 shares. 怎么判断是买还是卖啊 这个方向总搞不清

2022-01-08 20:27 1 · 回答

NO.PZ2016070202000025 解析中，lta怎么是S除以C？记得在一级当中有个公式，用组合的思路来求解，老师能再讲一下么？谢谢！

2021-08-23 21:55 1 · 回答

     这个题答案没看懂，可以再清楚一点吗？

2019-01-12 08:35 5 · 回答