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砯砯testy · 2019年11月11日

为什么在mapping VaR章节里,option又是用Delta normal计算的呢?

问题如下图:

选项:

A.

B.

C.

D.

解释:

想把这个问题再清楚理解,Delta normal不适合option的原因是什么?Delta gamma适合option吗? 为什么mapping里面option是用local valuation算出来的呢?是因为书上只是讲原理,实际应用中是不适合的是吗?
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品职答疑小助手雍 · 2019年11月12日

同学你好,不适合option的原因是因为option的价格变化不完全是线性的(有凸性),delta gamma更适合一些。但是mapping这里主要还是讲mapping的原理,那delta只能做小幅波动的mapping,波动大的话还是要加上gamma的影响因素。

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