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比如世界 · 2020年05月07日

问一道题：NO.PZ2016082404000030

  1. FRM I
  2. Financial Markets And Products

问题如下：

A bank has sold USD 300,000 of call options on 100,000 equities. The equities trade at 50, the option strike price is 49, the maturity is in three months, volatility is 20%, and the interest rate is 5%. How does the bank delta-hedge?

选项：

A.

  Buy 65,000 shares

B.

  Buy 100,000 shares

C.

  Buy 21,000 shares

D.

  Sell 100,000 shares

解释：

ANSWER: A

This is an at-the-money option with a delta of about 0.5. Since the bank sold calls, it needs to delta-hedge by buying the shares. With a delta of 0.54, it would need to buy approximately 50,000 shares. Answer A is the closest. Note that most other information is superfluous.

老师您好，这道题看的有点晕。1、请老师帮忙翻译一下”A bank has sold USD 300,000 of call options on 100,000 equities.“的意思；2、这题的答案是 buy 5000对吗？（选A是取了近似值）。有用的信息只有“ 100,000 equities”和“ The equities trade at 50, the option strike price is 49" 对吗？

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1 个答案

小刘_品职助教 · 2020年05月08日

同学你好，

1、A bank has sold USD 300,000 of call options on 100,000 equities 这句话的意思是这个银行卖出了价值300,000的call option（银行收了这么多钱），标的是100,000份股票

2、最准确的答案是用BSM公式算出N(d1)，算出来的N(d1）是0.648，所以应该买0.648*100000=65000份的现货 所以后面那些数字都是有意义的；这道题比较特别是因为选项之间shares差距都很大，所以可以用0.5粗略估算一下

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