NO.PZ2020021205000065
问题如下:
a short position on 100,000 call options on a stock with a market price and strike price of USD 40 when the risk-free rate is 5%, the volatility is 22%, and the time to maturity is nine months what trade should be done to create a delta-neutral position? (Assume that the trader has no other positions dependent on the stock price.) If the stock price increases to USD 41 within a very short period, what further trade is necessary?
选项:
解释:
The trader should buy 61,500 shares of the stock to create a delta-neutral position. If the stock price then moves up to USD 41:
and N(d1 ) = 0.663. The delta of the option position is -66,300 and a further 4,800 shares should be purchased.
因为题目中stock price=strike price,当做short ATM Call 来看,认为delta 是 -0.5。
请问这种想法为什么不对?为什么何用BSM计算的d1公式结果不一样?谢谢。