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亚利 · 2023年06月17日

这题说的是哪个知识点?麻烦老师帮忙翻译并解释意思

NO.PZ2020021205000004

问题如下:

Explain the stop-loss strategy for hedging a short position in a call option. What is its drawback?

解释:

The stop-loss strategy involves covering the option by buying the asset that will have to be delivered as soon as the option moves in-the-money and selling when it moves out-of-the-money. It works well for some scenarios and badly for others. It is not a hedging scheme where the present value of the cost of hedging the option is always approximately equal to its theoretical price.

这题说的是哪个知识点?麻烦老师帮忙翻译并解释意思

1 个答案

DD仔_品职助教 · 2023年06月17日

嗨,努力学习的PZer你好:


同学你好,

这道题的知识点在18章,具体请看下图:

解释对冲short call的止损策略,它的缺点是什么?

止损策略是要买入一旦期权进入价内,也就是S>X时,就必须交割的资产来cover 这个头寸,并在期权进入价外时(S

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努力的时光都是限量版,加油!

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