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徐威廉 · 2024年10月28日

解释一下这题说了个啥?

NO.PZ2023100703000112

问题如下:

You are asked to mark to market a book of plain vanilla stock options. The trader is short deep out-of-money options and long at-the-money options. There is a pronounced smile for these options. The trader’s bonus increases as the value of his book increases. Which approach should you use to mark the book?

选项:

A.Use the implied volatility of at-the-money options because the estimation of the volatility is more reliable. B.Use the average of the implied volatilities for the traded options for which you have data because all options should have the same implied volatility with Black-Scholes and you don’t know which one is the right one. C.For each option, use the implied volatility of the most similar option traded on the market. D.Use the historical volatility because doing so corrects for the pricing mistakes in the option market.

解释:

The prices obtained with C are the right ones because they correspond to prices at which you could sell or buy the options.

解释一下这题说了个啥?

1 个答案
已采纳答案

pzqa27 · 2024年10月29日

嗨,从没放弃的小努力你好:


这个题确实比较令人费解,稍做了解即可,不算要给常规考察方式。题目说有一个人short deep OTM option,同时 long ATM option,观测到这些期权存在波动率微笑,问我么们该怎么去盯是市。 就是问怎么去计算每天的value。

由于期权的波动率出现微笑,也就是这俩期权的波动率和价格的关系是不一样的,因此对每一个期权用相似的期权来定价。

这个题了解下理念即可,不算常规考点。

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虽然现在很辛苦,但努力过的感觉真的很好,加油!

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