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Meredith Mao · 2023年11月04日

DElta为什么不对 这是哪里的知识点

NO.PZ2023040601000037

问题如下:

Lee then explains how the risk exposures of option positions may increase or decrease overall portfolio risk. Lee and Woolridge discuss delta, gamma, and vega as option sensitivity measures. Woolridge summarizes what she has learned to make sure she has understood correctly: “Delta measures the sensitivity of an option to the price of the underlying security and ranges from –0.5 to +0.5. Gamma is a second-order effect that measures the sensitivity of delta to price changes in the underlying. Vega is a first-effect that measures the change in the volatility of an option to the change in price of the underlying.”

Which option sensitivity measure does Woolridge most accurately describe?

选项:

A.

Vega

B.

Delta

C.

Gamma

解释:

Gamma is a second-order effect which measures the sensitivity of delta to price changes in the underlying.

如下所示已写在问题里

1 个答案

星星_品职助教 · 2023年11月04日

同学你好,

Delta错误的原因是取值范围应为-1到+1。

本题为衍生品中的知识点Delta作为组合里risk measure的一种在组合科目的应用。Delta的具体性质可在衍生品科目中学习。