NO.2018122701000048

NO.PZ2018122701000048问题如下 A portfolio manager owns a portfolio of options on a non-vinpaying stoRTX. The portfolio is ma up of 10,000 ep in-the-money call options on RTX an50,000 ep out-of-the money call options on RTX. The portfolio also contains 20,000 forwarcontracts on RTX. RTX is trang US100. If the volatility of RTX is 30% per-year, whiof the following amounts woulclosest to the 1-y Vof the portfolio the 95 percent confinlevel, assuming 252 trang ys in a year? US932 US93,263 US111,122 US131,892 B is correct. 考点 Mapping to Option Position 解析 We neeto mthe portfolio to a position in the unrlying stoRTX. A ep in-the-money call ha lta of approximately 1, a ep out-of-the-money call hlta of approximately 0 anforwar have a lta of 1. The net portfolio ha lta of about 30,000 anis approximately gamma neutral. The 1-y Vestimate 95 percent confinlevel is computefollows:α×S×∆×σ×SQRT(1/T)=1.645×100×30000×0.3×SQRT(1/252)=93263 老师， 能一下 为什么lta gamma neutr？ 这个 没看懂

NO.PZ2018122701000048 问题如下 A portfolio manager owns a portfolio of options on a non-vinpaying stoRTX. The portfolio is ma up of 10,000 ep in-the-money call options on RTX an50,000 ep out-of-the money call options on RTX. The portfolio also contains 20,000 forwarcontracts on RTX. RTX is trang US100. If the volatility of RTX is 30% per-year, whiof the following amounts woulclosest to the 1-y Vof the portfolio the 95 percent confinlevel, assuming 252 trang ys in a year? US932 US93,263 US111,122 US131,892 B is correct. 考点 Mapping to Option Position 解析 We neeto mthe portfolio to a position in the unrlying stoRTX. A ep in-the-money call ha lta of approximately 1, a ep out-of-the-money call hlta of approximately 0 anforwar have a lta of 1. The net portfolio ha lta of about 30,000 anis approximately gamma neutral. The 1-y Vestimate 95 percent confinlevel is computefollows:α×S×∆×σ×SQRT(1/T)=1.645×100×30000×0.3×SQRT(1/252)=93263 为什么lta是30000，为什么是用lta normal，没懂

NO.PZ2018122701000048 问题如下 A portfolio manager owns a portfolio of options on a non-vinpaying stoRTX. The portfolio is ma up of 10,000 ep in-the-money call options on RTX an50,000 ep out-of-the money call options on RTX. The portfolio also contains 20,000 forwarcontracts on RTX. RTX is trang US100. If the volatility of RTX is 30% per-year, whiof the following amounts woulclosest to the 1-y Vof the portfolio the 95 percent confinlevel, assuming 252 trang ys in a year? US932 US93,263 US111,122 US131,892 B is correct. 考点 Mapping to Option Position 解析 We neeto mthe portfolio to a position in the unrlying stoRTX. A ep in-the-money call ha lta of approximately 1, a ep out-of-the-money call hlta of approximately 0 anforwar have a lta of 1. The net portfolio ha lta of about 30,000 anis approximately gamma neutral. The 1-y Vestimate 95 percent confinlevel is computefollows:α×S×∆×σ×SQRT(1/T)=1.645×100×30000×0.3×SQRT(1/252)=93263 VaR（）=区间调整*σ*日子调整*股票价格，没有太理解

NO.PZ2018122701000048 问题如下 A portfolio manager owns a portfolio of options on a non-vinpaying stoRTX. The portfolio is ma up of 10,000 ep in-the-money call options on RTX an50,000 ep out-of-the money call options on RTX. The portfolio also contains 20,000 forwarcontracts on RTX. RTX is trang US100. If the volatility of RTX is 30% per-year, whiof the following amounts woulclosest to the 1-y Vof the portfolio the 95 percent confinlevel, assuming 252 trang ys in a year? US932 US93,263 US111,122 US131,892 B is correct. 考点 Mapping to Option Position 解析 We neeto mthe portfolio to a position in the unrlying stoRTX. A ep in-the-money call ha lta of approximately 1, a ep out-of-the-money call hlta of approximately 0 anforwar have a lta of 1. The net portfolio ha lta of about 30,000 anis approximately gamma neutral. The 1-y Vestimate 95 percent confinlevel is computefollows:α×S×∆×σ×SQRT(1/T)=1.645×100×30000×0.3×SQRT(1/252)=93263 如果是in the money或out the money put的话，Δ应该是多少呢