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LOS d: Explain why and how a dealer delta hedges an option portfolio, why the portfolio delta changes, and how the dealer adjusts the position to maintain the hedge.
Q1. An option dealer is delta hedging a short call position on a stock. As the stock price increases, in order to maintain the hedge, the dealer would most likely have to:
A) buy T-bills.
B) buy more shares of the stock.
C) sell some the shares of the stock.
Q2. A manager would delta hedge a position to:
A) earn extra “dividend” income on a given position.
B) earn the risk-free rate.
C) place a floor on the position while leaving the potential for upside risk.
Q3. A short position in naked calls on an asset can be delta hedged by:
A) shorting the underlying asset.
B) buying the put.
C) buying the underlying asset. | 
发表于 2009-4-10 10:57
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