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熊冰清Blanche💫 · 2020年10月05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.

想问下查表N值的表，在哪里看。。

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1 个答案

小刘_品职助教 · 2020年10月05日

同学你好，

考试的时候会直接给出来的，在试卷的前面可以查。

讲义在quant部分有，截屏给你。

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