开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)|3.2.5(安卓)APP下载

中二 · 2019年04月21日

问一道题:NO.PZ2016082404000030 [ FRM I ]

问题如下图:

选项:

A.

B.

C.

D.

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?
1 个答案

品职答疑小助手雍 · 2019年04月21日

同学你好,考试时候会给正态分布表的。不过这道题比较特殊,因为目前股价和strike price很接近,ATM的option 的delta大致在0.5左右,直接用0.5带入计算,然后找一个近的答案就可以了,这题的选项数值差距还挺大的,比较好选。当然深度实值的期权会约等于1,虚值的离0比较近。

  • 1

    回答
  • 0

    关注
  • 394

    浏览
相关问题

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?

2024-04-13 20:44 1 · 回答

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?

2023-04-20 22:32 1 · 回答

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

2023-03-31 22:02 1 · 回答

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?

2023-03-28 22:22 1 · 回答

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

2023-03-03 16:43 1 · 回答