
标题: Reading 39: Risk Management App....tion Strategies-LOS d [打印本页]
作者: tycoon 时间: 2008-9-16 17:15 标题: [2008] Session 13-Reading 39: Risk Management App....tion Strategies-LOS d
CFA Institute Area 8-11, 13: Asset Valuation
Session 13: Risk Management Applications of Derivatives
Reading 39: Risk Management Applications of Option Strategies
LOS d: Explain why and how a dealer delta hedges an option portfolio, why the protfolio delta changes, and how the dealer adjusts the position to maintain the hedge.
作者: tycoon 时间: 2008-9-16 17:16
A short position in naked calls on an asset can be delta hedged by:
|
B) | shorting the underlying asset. |
|
C) | buying the underlying asset. |
|
D) | short naked calls cannot be delta hedged. |
|
Answer and Explanation
Delta hedging a naked call can be accomplished by owning the underlying asset in an amount that will make the value of the short-call/long-asset portfolio immune to changes in the price of the underlying asset.
作者: tycoon 时间: 2008-9-16 17:17
A manager would delta hedge a position to:
A) | earn the risk-free rate. |
|
B) | earn extra dividend income on a given position. |
|
C) | place a floor on the position while leaving the potential for upside risk. |
|
D) | effectively close the position and not monitor it anymore. |
|
Answer and Explanation
A delta hedged position should earn the risk-free rate. The position does not earn a dividend although it should increase in value gradually (at the risk-free rate). The upside potential is limited to the risk-free rate. The manager would have to constantly monitor and adjust the position to achieve the goal.
作者: tycoon 时间: 2008-9-16 17:17
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 more shares of the stock. |
|
B) | sell some the shares of the stock. |
|
|
|
Answer and Explanation
As the value of the underlying increases, the delta of a call option increases. This means more of the underlying asset is needed to hedge the position.
欢迎光临 CFA论坛 (http://forum.theanalystspace.com/) |
Powered by Discuz! 7.2 |