郭同学2019-06-06 11:23:53
Q. Which of the following would Messer most likely conclude from the implied volatility data in Exhibit 2 if he excludes the effects of moneyness and time to expiration? Using out-of-the-money options to hedge is more expensive than establishing a long position with out-of-the-money options. Using out-of-the-money options to establish a long position is more expensive than establishing a short position using out-of-the-money options. Using out-of-the-money options to establish either long or short positions is more expensive than using at-the-money options. mockBmorning卷48题,请老师讲解下,没有思路。
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Paroxi2019-06-06 15:19:58
同学你好,这道题问的是不考虑价内价值(moneyness)的和到期时间(time to expiration)的影响,哪些条件可以推算出隐含波动率的数据。从表2中可以观测出一个规律性,执行价格越高,波动性越低。执行价格越高的看跌期权肯定是比执行价格越高的看涨期权贵呀。A选项的表述就是这个意思。
这里的using out of the money option to hedge 理解为使用期权去对冲,就是long put的概念,因为我们long call的目的是要去赚股票上涨的收益,long put 的本质是对冲股票下跌的风险。
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波动低,call 和put的期权价格都是降低的吧?执行价格越高,put属于价内期权(in the money)、call属于价外的吧(out of money)?所以老师说的执行价格越高对应的put比call贵确实如此。关键题目用的是out of money的put来对冲,我理解的是用执行价格比较低的put,并不是和call同执行价格的吧,这个和执行价格比较高的call之间的比较搞不懂啊。


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