如果用以下办法：

NO.PZ2023041003000050

问题如下：

Solomon^’s portfolio currently holds 10,000 shares of an exchange-traded fund (ETF) that tracks the GPX. He is worried the index will decline. He remarks to Lee, “You have told me how the BSM model can provide useful information for reducing the risk of my GPX position” Lee suggests a delta hedge as a strategy to protect against small moves in the GPX Index.

The strategy suggested by Lee for hedging small moves in Soiomon^‘s ETF position would most likely involve:

选项：

selling put options.

selling call options.

buying call options.

解释：

because selling call options creates a short position in the ETF that would hedge his current long position in the ETF.

ns+nc=0

ns+np=0

变成 c= 和 p=

算出来感觉都是负的呀

意思是都可以用sell put/call来对冲。

这个过程有啥问题。

哦我知道了是不是因为delta put 小于0

所以p= xxxxx 就变成正的了

添加评论

1 个答案

李坏_品职助教 · 2025年05月09日

嗨，爱思考的PZer你好：

对。

现在这个人的仓位是long的，我们需要创造short的仓位，也就是能够在ETF价格下跌的情况下赚钱的仓位，那就是buy put或者Sell call，选项里面只有sell call的选项。

----------------------------------------------
虽然现在很辛苦，但努力过的感觉真的很好，加油！

添加评论

1
回答
0
关注
3
浏览

我要回答关注问题

相关问题

NO.PZ2023041003000050 问题如下 Solomon’s portfoliocurrently hol 10,000 shares of exchange-trafun(ETF) thtracks theGPX. He is worriethe inx will cline. He remarks to Lee, “You have tolmehow the BSM mol cprovi useful information for recing the risk of myGPX position” Lee suggests a lta hee a strategy to proteagainst smallmoves in the GPX Inx.Thestrategy suggesteLee for heing small moves in Soiomon‘s ETF position woulost likely involve: A.selling put options. B.selling call options. C.buying call options. because selling call options creates a shortposition in the ETF thwoulhee his current long position in the ETF. 那句话能判断出来，已知NS 求nc or np?

2025-04-05 17:30 2 · 回答

NO.PZ2023041003000050问题如下 Solomon’s portfoliocurrently hol 10,000 shares of exchange-trafun(ETF) thtracks theGPX. He is worriethe inx will cline. He remarks to Lee, “You have tolmehow the BSM mol cprovi useful information for recing the risk of myGPX position” Lee suggests a lta hee a strategy to proteagainst smallmoves in the GPX Inx.Thestrategy suggesteLee for heing small moves in Soiomon‘s ETF position woulost likely involve: A.selling put options.B.selling call options.C.buying call options. because selling call options creates a shortposition in the ETF thwoulhee his current long position in the ETF. 是不是也可以long put？

2024-05-02 11:24 1 · 回答