NO.PZ2023091802000150
问题如下:
A risk manager is evaluating an option portfolio that has been hedged to satisfy a risk limit. All other things being equal, which of the following portfolio characteristics will typically result in a need to rebalance the hedge more frequently to remain in compliance?
选项:
A.
Small delta value
B.
Large delta value
C.
Large theta value
D.
Large gamma value
解释:
请老师解释下这道题,没看懂,谢谢