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兜儿里有糖_wyz · 2021年08月23日

delta的定义是C的单位变动量除以S的单位变动量？

  1. FRM II
  2. Market Risk Measurement And Management

NO.PZ2016070202000025

问题如下：

You are the risk manager of your bank responsible for the derivatives desk. A trader has sold 300 call option contracts each on 100 shares of Nissan Motors with time to maturity of 90 days at USD 1.80. The delta of the option on one share is 0.60. You have hedged the option exposure by buying 18,000 shares of the underlying. The next day, the stock price falls and the delta of the options falls to 0.54. In order to keep the options hedged, you have to

选项：

A.

Buy 1,800 shares of Nissan Motors

B.

Sell 1,800 shares of Nissan Motors

C.

Buy 1,080 shares of Nissan Motors

D.

Sell 1,080 shares of Nissan Motors

解释：

First, we verify that the initial amount purchased is correct. This is 0.60×300×100=18,0000.60\times300\times100=18,000 shares. If the delta falls to 0.54, or by 0.06, the risk manager will have to sell 0.06×300×100=1,8000.06\times300\times100=1,800 shares.

解析中，delta怎么是S除以C？记得在一级当中有个公式，用组合的思路来求解，老师能再讲一下么？谢谢！

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1 个答案

品职答疑小助手雍 · 2021年08月23日

嗨，从没放弃的小努力你好：


delta的定义是C的单位变动量除以S的单位变动量是没错，

不过对于组合而言，其实就变成组合的变动量对S变动量的比例了。

本题中原有的期权的delta是-30000*0.6=-18000（因为是short期权），股票的delta是18000*1=18000，抵消之后组合的delta为0，实现对冲。

但是现在期权的delta变成了-30000*0.54=-16200了，而股票的delta还是18000，这时候我们要卖出股票来使组合的delta变成0。

卖出股票的数量就是（18000-16200）除以1。也就是1800只股票。

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NO.PZ2016070202000025问题如下You are the risk manager of your bank responsible for the rivatives sk. A trar hsol300 call option contracts eaon 100 shares of NissMotors with time to maturity of 90 ys US1.80. The lta of the option on one share is 0.60. You have heethe option exposure buying 18,000 shares of the unrlying. The next y, the stoprifalls anthe lta of the options falls to 0.54. In orr to keep the options hee you have toA.Buy 1,800 shares of NissMotorsB.Sell 1,800 shares of NissMotorsC.Buy 1,080 shares of NissMotorsSell 1,080 shares of NissMotorsFirst, we verify ththe initiamount purchaseis correct. This is 0.60×300×100=18,0000.60\times300\times100=18,0000.60×300×100=18,000 shares. If the lta falls to 0.54, or 0.06, the risk manager will have to sell 0.06×300×100=1,8000.06\times300\times100=1,8000.06×300×100=1,800 shares.讲义section7老师，这个跟regression hee中的公式不一样啊，请问这是讲义上哪个知识点。以后每个题目的解析能不能写出题目对应讲义的知识点哦

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