问题如下图:
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解释:
不是……这种要求N(d1)又不给分位点查表数据的题,遇上了该怎么算啊?NO.PZ2016082404000030 问题如下 A bank hsold US300,000 of call options on 100,000 equities. The equities tra 50, the option strike priis 49, the maturity is in three months, volatility is 20%, anthe interest rate is 5%. How es the bank lta-hee? Buy 65,000 shares Buy 100,000 shares Buy 21,000 shares Sell 100,000 shares ANSWER: This is at-the-money option with a lta of about 0.5. Sinthe bank solcalls, it nee to lta-hee buying the shares. With a lta of 0.5, it woulneeto buy approximately 50,000 shares. Answer A is the closest. Note thmost other information is superfluous. 题目中X = 49, ST = 50, 这明明是 in the money啊?
NO.PZ2016082404000030 问题如下 A bank hsold US300,000 of call options on 100,000 equities. The equities tra 50, the option strike priis 49, the maturity is in three months, volatility is 20%, anthe interest rate is 5%. How es the bank lta-hee? Buy 65,000 shares Buy 100,000 shares Buy 21,000 shares Sell 100,000 shares ANSWER: This is at-the-money option with a lta of about 0.5. Sinthe bank solcalls, it nee to lta-hee buying the shares. With a lta of 0.5, it woulneeto buy approximately 50,000 shares. Answer A is the closest. Note thmost other information is superfluous. “这个意思就是我们需要买入call option标的物的股票数量的50%来进行对冲,也就是100000股股票的50%,等于买入50000股股票。”怎么理解这句话?Δ的含义不是ΔC/ΔP,是P变动对C的影响。那怎么能用Δ=多少确定对冲数量呢?
NO.PZ2016082404000030问题如下 A bank hsold US300,000 of call options on 100,000 equities. The equities tra 50, the option strike priis 49, the maturity is in three months, volatility is 20%, anthe interest rate is 5%. How es the bank lta-hee? Buy 65,000 shares Buy 100,000 shares Buy 21,000 shares Sell 100,000 shares ANSWER: This is at-the-money option with a lta of about 0.5. Sinthe bank solcalls, it nee to lta-hee buying the shares. With a lta of 0.5, it woulneeto buy approximately 50,000 shares. Answer A is the closest. Note thmost other information is superfluous. 答案中的5000是怎么出来的
NO.PZ2016082404000030问题如下 A bank hsold US300,000 of call options on 100,000 equities. The equities tra 50, the option strike priis 49, the maturity is in three months, volatility is 20%, anthe interest rate is 5%. How es the bank lta-hee? Buy 65,000 shares Buy 100,000 shares Buy 21,000 shares Sell 100,000 shares ANSWER: A This is an at-the-money option with a lta of about 0.5. Sinthe bank solcalls, it nee to lta-hee buying the shares. With a lta of 0.54, it woulneed to buy approximately 50,000 shares. Answer A is the closest. Note thmost other information is superfluous. 答案054是怎么出来的?
NO.PZ2016082404000030问题如下 A bank hsold US300,000 of call options on 100,000 equities. The equities tra 50, the option strike priis 49, the maturity is in three months, volatility is 20%, anthe interest rate is 5%. How es the bank lta-hee? Buy 65,000 shares Buy 100,000 shares Buy 21,000 shares Sell 100,000 shares ANSWER: A This is an at-the-money option with a lta of about 0.5. Sinthe bank solcalls, it nee to lta-hee buying the shares. With a lta of 0.54, it woulneed to buy approximately 50,000 shares. Answer A is the closest. Note thmost other information is superfluous. nc*ltac+ns*ltas=0lta=0.648,是期权的lta还是股票的lta