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lion · 2023年03月31日

求解释。

  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 0.5, it would need to buy approximately 50,000 shares. Answer A is the closest. Note that most other information is superfluous.

答案中的5000是怎么出来的

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1 个答案

李坏_品职助教 · 2023年03月31日

嗨，从没放弃的小努力你好：


A bank has sold USD 300,000 of call options on 100,000 equities. 意思是这个银行卖出的call option一共对应100, 000股的股票。由于这个call是一个平值期权，delta=0.5，所以说只需要买入0.5 * 100, 000股的股票去hedge就够了。所以是5万股，A最接近。



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虽然现在很辛苦，但努力过的感觉真的很好，加油！

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