25-delta有什么特殊含義嗎？
Stefan Ozturk
答案與老師講的相反
老師，您好，利用smile做，是應該做空什么樣的期權呀，謝謝啦，為啥機構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 請問case1：CEO，case2：Bank trust fund, case3:sarah ko有講解嗎？
老師這段話怎么理解，請詳細解釋一下，老師會怎么考呢？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的關系
這里怎么判斷兩個期權的期權費高低呢？不是很理解這個策略的邏輯
Tribeca，Q3這個題是怎么計算的？謝謝
selling the bias 是什么意思？ 基差是期貨價格-現(xiàn)貨價格嗎？ 升水情況下，roll yield是否小于零這塊比較虛，老師能否展開詳細說說，謝謝啦
老師，沖刺筆記第99頁上的這個表格不理解。請再解釋一下，謝謝！
什么情況下portfolio的beta=1？
算effective price為什么不用減去$1.29/euro- $1.24/euro？謝謝
為啥floating的久期接近于零啊
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