关于开放式基金delta等希腊字母的计算问题

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请问各位，如果要计算某支开放式基金的delta，自变量应该取什么？（对哪个影响开放式基金价值的变量求偏导？）
如果是对Underlying assets的加权平均求偏导的话，那开放式基金的交易价格难道不等于其净资产？净资产=weighted average value of underlying assets吗？

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关键词：Delta 开放式基金 希腊字母 计算问题 ELT average assets 净资产 自变量 希腊

有这么几种解释：
Delta – the net share of equities investments. Delta describes the risk of a fund’s total position.

Delta/Exposure (%) – the percentage of a fund’s market value that has been invested in securities at the moment of review. If the fund’s delta is low, a large part of the fund capital has been invested in cash.

Exposure (delta) – the change in a fund’s asset value in relation to the fund’s total asset value assuming that all fund positions experience a simultaneous, equal change. Delta is calculated by dividing the delta-adjusted value of the fund with the total value of the fund.

kezhengs 发表于 2012-4-21 21:38
有这么几种解释：
Delta – the net share of equities investments. Delta describes the risk of a fund ...

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