NO.PZ2016071602000019
问题如下：
Identify the risk in a convertible arbitrage strategy that takes long positions in convertible bonds hedged with short positions in Treasuries and the underlying stock.
选项：
A.Short implied volatility
B.Long duration
C.Long stock delta
D.Positive gamma
解释：
D is correct. This position is hedged against interest rate risk, so b. is wrong. It is also hedged against directional movements in the stock, so c. is wrong. The position is long an option (the option to convert the bond into the stock) so is long implied volatility, so a. is wrong. Long options positions have positive gamma.
请问这一道题的如何用implied volatility 去理解对冲基金去long convertible?
