上小学 · 2023年03月06日
NO.PZ2020021205000056
问题如下：
A stock price is currently 40. At the end of six months it will be either 36 or 44. The risk-free rate is 5% per annum with continuous compounding.there is a six month European put option with a strike price of 40,what position should be taken in the stock to hedge a long position in the option?
解释：
The position is long 0.5 shares. This is because 0.5 shares plus the long put option is worth 22 for both outcomes.
讲义上三种解题方法结果相同，但是适用情景有何不同？
pzqa27 · 2023年03月06日
嗨，从没放弃的小努力你好：
二叉树用于对期权的定价，这里问的是如果hedge，不是在问定价，所以不用二叉树
嗯，这里hedge的思想是delta natural
简单来说就是令组合的delta=0，这样组合就可以认为不收到股价变动的线性影响了，题目中现有头寸是long一个put，那么我们只需要long 0.5个股票即可令组合的delta=0
期权的价格变动一般就两种方法，一是二叉树，二是BSM，这里不涉及期权价格的变化，这里问的是如何对冲，只需要delta中性即可
----------------------------------------------虽然现在很辛苦，但努力过的感觉真的很好，加油！
NO.PZ2020021205000056 问题如下 A stopriis currently 40. the enof six months it will either 36 or 44. The risk-free rate is 5% per annum with continuous compounng.there is a six month Europeput option with a strike priof 40,whposition shoultaken in the stoto hee a long position in the option? The position is long 0.5 shares. This is because 0.5 shares plus the long put option is worth 22 for both outcomes. 想问一下，在计算这类题的时候，每步计算要保留几位小数？
NO.PZ2020021205000056 问题如下 A stopriis currently 40. the enof six months it will either 36 or 44. The risk-free rate is 5% per annum with continuous compounng.there is a six month Europeput option with a strike priof 40,whposition shoultaken in the stoto hee a long position in the option? The position is long 0.5 shares. This is because 0.5 shares plus the long put option is worth 22 for both outcomes. 请问能否给出解题过程 这个是哪个知识点
NO.PZ2020021205000056问题如下A stopriis currently 40. the enof six months it will either 36 or 44. The risk-free rate is 5% per annum with continuous compounng.there is a six month Europeput option with a strike priof 40,whposition shoultaken in the stoto hee a long position in the option?The position is long 0.5 shares. This is because 0.5 shares plus the long put option is worth 22 for both outcomes.1.可以用平值put期权的lta=-0.5直接得出吗？2.lta是-0.5为什么对应longstock，经济学意义我能理解，数学含义怎么理解？
NO.PZ2020021205000056问题如下A stopriis currently 40. the enof six months it will either 36 or 44. The risk-free rate is 5% per annum with continuous compounng.there is a six month Europeput option with a strike priof 40,whposition shoultaken in the stoto hee a long position in the option?The position is long 0.5 shares. This is because 0.5 shares plus the long put option is worth 22 for both outcomes.这道题的lta=-0.5是吗？
