michaelcfa

derivative 中gold那道题，个人理解：

call option on 20,000 ounce of gold, 根据delta=0.537, 要构成一个hedged portfolio需要 0.537*20,000=10740 ounce of gold,而题中说inventory 是20,000 ounce,多出了9360 ounce，当price from 1000 to 1005, position A gains 9360*5=46300.