139****6784
2024-01-14 21:01Cynthia Navarro Case Scenario
這個(gè)statement1能幫忙再解釋一下嗎
所屬:CFA Level III > Derivatives and Currency Management 視頻位置 相關(guān)試題
來(lái)源: 視頻位置 相關(guān)試題
1個(gè)回答
Simon助教
2024-01-15 10:08
該回答已被題主采納
同學(xué),上午好。statement中,+call是long call,而+put是short put(buy five contracts of June 120 calls. Alternatively, she notes that Patel write five June 115 put contracts. )
Statement 1:long stock+long call,組合delta=1+0.439=1.439,只要delta>0,就是看漲(此處股價(jià)變動(dòng)1元,組合價(jià)格變動(dòng)1.439);long stock+ short put,組合delta=1-(-0.399)=1.399,也是看漲。同時(shí),long stock+long call看漲的更加強(qiáng)烈。所以1中描述是錯(cuò)的
