金程問(wèn)答
是不是可以理解為roll yield為positive應(yīng)該hedge，而roll yield為negative不應(yīng)該
請(qǐng)問(wèn) 這道題 為什么不考慮 settlement 時(shí)的 spot rate? 謝謝 百題 case 6
25-delta有什么特殊含義嗎？
Stefan Ozturk
請(qǐng)講下本題，call put option
答案與老師講的相反
老師，您好，利用smile做，是應(yīng)該做空什么樣的期權(quán)呀，謝謝啦，為啥機(jī)構(gòu)投資者要做不同的策略呢，題目如下Renita Murimi is a currency overlay manager and market technician who serves institutional investors seeking to address currency-specific risks associated with investing in international assets. Her firm also provides volatility overlay programs. She is developing a volatility-based strategy for Emil Konev, a hedge fund manager focused on option trading. Konev seeks to implement an “FX as an asset class” approach distinct to his portfolio to realize speculative gains and believes the long-term strength of the US dollar is peaking. / 問(wèn)題Q. Describe how a volatility-based strategy for Konev would most likely contrast with Murimi’s other institutional investors. Justify your response.
老師 請(qǐng)問(wèn)case1：CEO，case2：Bank trust fund, case3:sarah ko有講解嗎？
老師這段話(huà)怎么理解，請(qǐng)?jiān)敿?xì)解釋一下，老師會(huì)怎么考呢？currency risk
第二題，為什么不能直接算settlement的payoff 然后除以2.。。。
implied volatility和delta的關(guān)系
這里怎么判斷兩個(gè)期權(quán)的期權(quán)費(fèi)高低呢？不是很理解這個(gè)策略的邏輯
Tribeca，Q3這個(gè)題是怎么計(jì)算的？謝謝
老師，沖刺筆記第99頁(yè)上的這個(gè)表格不理解。請(qǐng)?jiān)俳忉屢幌?，謝謝！
什么情況下portfolio的beta=1？
程寶問(wèn)答
