derivative

问题如下：

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：

A Correct. 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 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 Incorrect. You need to add, not subtract, option gamma to the option delta.

Madisox的陈述是正确的。为了完全对冲股价的波动引起的期权价格的变动，正确策略是使用看涨期权的delta值，并加上看涨期权的gamma值，以得出所需的股票数量。