NO.PZ2023041003000058
问题如下：
Burr asks Madisox to
outline an appropriate hedging strategy. Madisox replies that to be fully
hedged, an option trader will need to consider how changes in the stock price
relative to the option exercise price affect the value of the call options. To
be fully hedged against a small change in the stock price, Madisox suggests
that the proper strategy to construct the hedge is to use call option delta and
add the call option gamma to arrive at the number of shares required.
Is
Madisox’s suggested hedging strategy for Weehawkin options most likely correct?
选项：
A.
Yes
B.
No, he should only use delta.
C.
No, he should subtract gamma.
解释：
Madisox’s statement
is correct. To be fully hedged against a small change in the stock price, the
proper strategy to construct the hedge is to use call option delta and add the
call option gamma to arrive at the number of shares required. The number of
shares required is 0.606, based on the option delta of 0.587 plus the option
gamma of 0.019.
B is incorrect. To be
fully hedged against a small change in the stock price, the proper strategy to
construct the hedge is to use call option delta and add the call option gamma to
arrive at the number of shares required.
C is incorrect. You
need to add, not subtract, option gamma to the option delta.
小幅变动不是说只用delta 就可以了嘛
