李同學(xué)
2024-06-14 19:04第四題遇到option strategy的delta計(jì)算是不是只需要簡(jiǎn)單的加總就行了?比如long risk reversal = long OTM call + short OTM put = 0 - (0) = 0 如果long straddle = long ATM call + long ATM put = 0.5 - 0.5 = 0類似這樣
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
2024-06-15 12:53
該回答已被題主采納
同學(xué),上午好。
對(duì)的,原理就是這樣??梢耘e例,假設(shè)OTM call delta=0.3,OTM put delta=-0.2,那么long OTM call + short OTM put = 0.3 - (-0.2)=0.5
