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Ryoooh · 2020年07月01日

问一道题:NO.PZ2020021205000012 [ FRM I ]

问题如下:

"Delta hedging a short position in a call option is a 'buyhigh, sell-low' trading strategy." Explain this statement.

解释:

Delta hedging involves buying 6 shares for each option sold, where 6 is the delta of a long position in the option. As the share price rises, delta increases and more shares have to be bought. As the share price falls, delta decreases and shares have to be sold. The trader is therefore always buying after a price increase and selling after a price decrease.

第一句话的6是不是跟答案没啥关系?
1 个答案

小刘_品职助教 · 2020年07月02日

同学你好,

6就是举个例子,没有什么特别的关系。

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2023-06-17 12:47 1 · 回答

老撕,为什么股价下跌,lta也会下跌,从后引发答案后面的那一串

2020-08-08 23:25 1 · 回答