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SHAO · 2024年07月16日

老师,可以讲解一下这道题吗,没有看懂答案

NO.PZ2023041003000060

问题如下:

She decides that it would be prudent to temporarily hedge the 100,000 shares of Apoth she owns until the outcome of the FDA’s review is complete.

“The best strategy to hedge your shares in Apoth would be to buy 6-month European put options to protect from a loss if the FDA rejects Apoth’s new pharmaceutical.”

Using the data from Exhibit 2, the number of option X contracts that Klein would have to sell to implement the hedge strategy would be closest to:

选项:

A.

30,000.

B.

333,333

C.

476,190.

解释:

The required number of call options to sell = Number of shares of underlying to be hedged/N(d1), where N(d1) is the estimated delta used for hedging a position with call options. There are 100,000 shares to be hedged and the N(d1) for Option X from Exhibit 2is 0.30. Thus, the required number of call options to sell is 100,000/0.30 = 333,333.

老师,可以讲解一下这道题吗,没有看懂答案

2 个答案
已采纳答案

pzqa35 · 2024年07月17日

嗨,努力学习的PZer你好:


题目中说到Klein 拥有 Apoth 的 100,000 股股票,她想利用X期权来对冲风险,因为X是看涨期权,所以想要对冲风险应该是使用short call。

那么我们根据公式Ns*deltaS-Nc*deltaC=0, 其中call option的delta就是Nd1=0.3,带入公式是100000*1-Nc*0.3=0,反解出Nc=333333

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虽然现在很辛苦,但努力过的感觉真的很好,加油!

SHAO · 2024年07月17日

1、老师,题目上面说hedge的方法是buy 6-month European put options,但下面又让用option X去hedge,所以用short call X,对吗? 2、还有Ns*deltaS-Nc*deltaC=0这个公式,我记得上课讲的是Ns*deltaS+Nc*deltaC=0,这个加或减号有影响吗?

pzqa35 · 2024年07月18日

嗨,从没放弃的小努力你好:


1、老师,题目上面说hedge的方法是buy 6-month European put options,但下面又让用option X去hedge,所以用short call X,对吗?——是的,下面是具体的操作。

2、还有Ns*deltaS-Nc*deltaC=0这个公式,我记得上课讲的是Ns*deltaS+Nc*deltaC=0,这个加或减号有影响吗?——Ns*deltaS+Nc*deltaC=0这个公式是一个更全面的,因为它计算出的Nc是负的,所以就是short,我计算的是直接已经设定好是short call了,所以计算出的结果是正的,但是也是short。同学记课堂的公式吧,这样可以根据计算结果直接判断long/short的方向。

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加油吧,让我们一起遇见更好的自己!

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NO.PZ2023041003000060问题如下 She cis thit woule prunt to temporarily hee the 100,000 shares of Apoth she owns until theoutcome of the F’s review is complete.“The best strategyto hee your shares in Apoth woulto buy 6-month Europeput options toprotefrom a loss if the F rejects Apoth’s new pharmaceutical.”Using the tafrom Exhibit 2, the number of option X contracts thKlein woulhave to sellto implement the hee strategy woulclosest to: A.30,000.B.333,333C.476,190. The requireumber of call options to sell = Number of shares of unrlying to beheeN(), where N() is the estimatelta usefor heing a positionwith call options. There are 100,000 shares to heeanthe N() forOption X from Exhibit 2is 0.30. Thus, the requirenumber of call options tosell is 100,000/0.30 = 333,333. 为什么option的lta是n呢

2024-07-27 11:45 1 · 回答

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