papher · 2020年06月24日
问题如下：
What is the delta of a short position on 100,000 call options on a stock with a market price and strike price of USO 40 when the risk-free rate is 5%, the volatility is 22%, and the time to maturity is nine months?
选项：
解释：
The delta of a long position in one option is N(d1 ). In this case:
d1== 0.2921
so that N(d1 ) = 0.615. The delta of a short position in one option is -0.615 and the delta of a short position in 100,000 options is -61,500.
可以用 S=K时 ，delta = 0.5 或者 -0.5 这样理解 吗？
NO.PZ2020021205000039 问题如下 Whis the lta of a short position on 100,000 call options on a stowith a market prianstrike priof USO 40 when the risk-free rate is 5%, the volatility is 22%, anthe time to maturity is nine months?p.p1 {margin: 0.0px 0.0px 0.0px 0.0px; font: 9.0px Helveticcolor: #463e44}span.s1 {color: #495566}span.s2 {color: #675248} The lta of a long position in one option is N( ). In this case:=ln(40/40) + (0.05 + 0.222/2) X 0.750.220.75\frac{\ln(40/40)\;+\;(0.05\;+\;0.22^2/2)\;X\;0.75}{0.22\sqrt{0.75}}\\0.220.75ln(40/40)+(0.05+0.222/2)X0.75= 0.2921p.p1 {margin: 0.0px 0.0px 0.0px 0.0px; font: 9.0px Helveticcolor: #3e3a44}span.s1 {color: #6b696b}so thN( ) = 0.615. The lta of a short position in one option is -0.615 anthe lta of a short position in 100,000 options is -61,500.p.p1 {margin: 0.0px 0.0px 0.0px 0.0px; font: 9.0px Helveticcolor: #464249}p.p2 {margin: 0.0px 0.0px 0.0px 0.0px; font: 8.5px Helveticcolor: #46444f}p.p3 {margin: 0.0px 0.0px 0.0px 0.0px; font: 9.0px Helveticcolor: #46444f}p.p4 {margin: 0.0px 0.0px 0.0px 0.0px; font: 9.0px Helveticcolor: #565456}p.p5 {margin: 0.0px 0.0px 0.0px 0.0px; font: 9.0px Helveticcolor: #413c41}p.p6 {margin: 0.0px 0.0px 0.0px 0.0px; font: 9.0px Helveticcolor: #4a4347}span.s1 {color: #303c63}span.s2 {font: 6.0px Helvetica}span.s3 {color: #4b5a6e}span.s4 {font: 7.0px Helvetica}span.s5 {font: 6.0px Helveticcolor: #515f7b}span.s6 {color: #6b696b}span.s7 {color: #3e3a44}span.s8 {color: #4b6 =0.2921,怎么推出 n的呀
NO.PZ2020021205000039 怎么看出来这个S的价格跟X的价格一样的？文中只是说了market price,但是没有说market pri就是执行价格啊，求解答，谢谢；
NO.PZ2020021205000039 李老师推导的是lta call=n() lta put=n()-1
NO.PZ2020021205000039 请问，The lta of a long position in one option is N( ). The lta of a short position 不是1 -N( )吗？
