徐同學(xué)
2020-10-03 15:54Dynamic hedge老師筆記short 1份Call，風(fēng)險管理應(yīng)買入delta份股票。但第31頁number of option need to delta hedge = number of shares hedged / delta of call option?
所屬：CFA Level III > Derivatives and Currency Management 視頻位置 相關(guān)試題
來源： 視頻位置 相關(guān)試題
2個回答
Kevin助教
2020-10-04 10:25
該回答已被題主采納
同學(xué)你好！
dynamic hedge即delta hedge，記住如下公式：nsΔs+ncΔc=0，即對沖后組合的凈值變化為0。
short 一份call即nc = -1，代入右邊，ns = -ncΔc/Δs = - nc*hedge ratio = hedge ratio = delta。即買入delta份股票。
number of options， 即求nc，nc = -nsΔs/Δc = -ns/hedge ratio = -ns/delta。負(fù)號表示賣出
兩者和你問題里說的是一致的，并不矛盾哈。
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Jiani
2024-05-05 14:11該回答已被題主采納
ns x Δs+nc x Δc=0
number of options needed to hedge = number of call options = nc = - ns x Δs/Δc =- ns x 1/hedge ratio = - ns/hedge ratio = short a number of shares/hedge ratio
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