请教金程百题34

是 否 +2 论坛币

k人 参与回答

经管之家送您一份

应届毕业生专属福利!

求职就业群

赵安豆老师微信：zhaoandou666

经管之家联合CDA

送您一个全额奖学金名额~ !

立即领取

感谢您参与论坛问题回答

经管之家送您两个论坛币！

+2 论坛币

34.Consider the following statements, which one is incorrect?

a) Short a coupon bond is equivalent to long effective duration and short effective convexity.

b) Long a plain vanilla call option is equivalent to log delta and also long gamma

c) Short a plain vanilla put option is equivalent to short Vega.

d) Long a deep in the money up and out call option is equivalent to long delta and short Vega.


the answer is d).          WHY ???

扫码加我 拉你入群

请注明：姓名-公司-职位

以便审核进群资格，未注明则拒绝

分享0 收藏1 回帖

关键词：equivalent Statements Effective convexity following equivalent statements effective following option

long deep in the money up and out call option is the same as short Delta & Vega~

Long a deep in the money up and out call option is equivalent to long delta
但是 是 long vega

Long a deep in the money up and out call option

这种时候，波动越大越有可能up out，所以这个时候vega是负的。就是说这个时候价格波动越大，option越不值钱

4# yhyhyyh

那long call怎么解释呢？

用泰勒展开式来看，一个是一阶导，一个是二阶导，复合效应匹配long call

mwuibe 发表于 2009-11-16 15:16
4# yhyhyyh

那long call怎么解释呢？

如果只是单纯的long一个普通的call，不存在向上敲出，波动率越大，期权价值就越高，就是long vega，如果是向上敲出期权，在接近敲出价格的时候，波动率越大就越有敲出的可能，波动率越大，则期权价值越小，vega为负，就是short vega

short vega 是显然的，难道还是short delta?

short delta, which is due to same rationale as short vega, is because higer value will cause lower price of call.... because this is the up and out call..

谁能解释c为什么是错的