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papher · 2020年06月24日

问一道题:NO.PZ2020021205000044 [ FRM I ]

问题如下:

From the information in the following table, estimate (a) what position should be taken in option A and the underlying asset for vega and delta neutrality, and (b) what position should be taken in option B and the underlying asset for gamma and delta neutrality. Note: when answering part (b) do not assume that the position in part (a) has been taken.

解释:

For vega neutrality, we can take a position of -200 in option A. This will create a delta of 0.8 X (-200) = -160, and 160 of the underlying asset should be purchased. For gamma neutrality, we can take a position of -120 in option B. This will create a delta of -0.6 X (-120) = 72, and 72 of the underlying asset should be sold.

Underlying assets的vaga是0吗?long 160份标的物的时候,不需要考虑标的物的vaga吗?

1 个答案
已采纳答案

小刘_品职助教 · 2020年06月28日

同学你好,

Underlying assets的vaga是0,这是默认的哈,记住就行了~

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NO.PZ2020021205000044问题如下From the information in the following table, estimate (whposition shoultaken in option A anthe unrlying asset for vega anlta neutrality, an(whposition shoultaken in option B anthe unrlying asset for gamma anlta neutrality. Note: when answering part ( not assume ththe position in part (hbeen taken.p.p1 {margin: 0.0px 0.0px 0.0px 0.0px; font: 9.0px Helveticcolor: #4b4347}p.p2 {margin: 0.0px 0.0px 0.0px 0.0px; font: 9.0px Helveticcolor: #463f48}span.s1 {color: #323b5f}span.s2 {color: #3a3a3a}span.s3 {color: #4b5a6e}span.s4 {color: #303b5f}span.s5 {color: #6a5247}For vega neutrality, we ctake a position of -200 in option This will create a lta of 0.8 X (-200) = -160, an160 of the unrlying asset shoulpurchase For gamma neutrality, we ctake a position of -120 in option This will create a lta of -0.6 X (-120) = 72, an72 of the unrlying asset shoulsolp.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: 9.0px Helveticcolor: #474046}span.s1 {color: #685347}span.s2 {color: #3f2b2b}span.s3 {color: #466b}span.s4 {color: #303c63}span.s5 {color: #4a5465}span.s6 {color: #675248}题目完全不知道需要干啥。求什么,解题思路是什么?对冲的数量怎么计算的。谢谢。完全一头雾水

2023-03-11 15:21 1 · 回答

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2023-02-22 15:17 1 · 回答

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2021-09-05 19:53 1 · 回答

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