李同學
2020-10-18 09:34老師,long put的delta不應該<嗎,short put不應該大于0嗎
所屬:FRM Part I > Valuation and Risk Models 視頻位置 相關試題
來源: 視頻位置 相關試題
1個回答
Cindy助教
2020-10-21 10:15
該回答已被題主采納
同學你好,你說的對呀,A long position in 20,000 put options and the delta of each of these options is -0.470.這里long put的delta是用-0.47帶入計算的
IV. A short position in 10,000 put options and the delta of each of these options is -0.430.這里short put的delta是用0.43帶入計算的
