开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)｜3.2.5(安卓)APP下载

返回

天天1102 · 2019年10月04日

问一道题：NO.PZ2016082404000034 [ FRM I ]

  1. FRM I
  2. Financial Markets And Products

问题如下图：

选项：

A.

B.

C.

D.

老师 这道题我不是很明白答案在说什么？ ：（ 是哪个地方的结论 需要掌握呢？ 解释：

添加评论
1 个答案

orange品职答疑助手 · 2019年10月04日

同学你好，本题考的是期权希腊字母的相关结论。题目问下列哪个选项与long gamma， shorrt vega相一致。long一个短期到期的（short-expiry）的处在ATM状态的option具有较高的正gamma；short 一个长期到期的（long-expiry）的处在ATM状态的option 相当于short较高的vage。

本题所涉及到的期权的希腊字母，需要在学完第三四门课后才能具有相关的基础知识，然后可以把本题当做结论记一下，考的还是挺细的

在希腊字母那一章节。

  • 1

    回答

  • 3

    关注

  • 388

    浏览
相关问题

NO.PZ2016082404000034问题如下 Steve, a market risk manager MarcSecurities, is analyzing the risk of its S&P 500 inx options trang sk. His risk report shows the sk is net long gamma and short vegWhiof the following portfolios of options shows exposures consistent with this report?   The sk hsubstantilong-expiry long call positions ansubstantishort-expiry short put positions.   The sk hsubstantilong-expiry long put positions ansubstantilong-expiry short call positions.   The sk hsubstantilong-expiry long call positions ansubstantishort-expiry short call positions.   The sk hsubstantishort-expiry long call positions ansubstantilong-expiry short call positions. ANSWER: D Long gamma means ththe portfolio is long options with high gammtypically short-term (short-expiry) ATM options. Short vega means ththe portfolio is short options with high vegtypically long-term (long-expiry) ATM options. 请问这是基础课哪一块知识

2023-03-31 14:21 1 · 回答

NO.PZ2016082404000034 问题如下 Steve, a market risk manager MarcSecurities, is analyzing the risk of its S&P 500 inx options trang sk. His risk report shows the sk is net long gamma and short vegWhiof the following portfolios of options shows exposures consistent with this report?   The sk hsubstantilong-expiry long call positions ansubstantishort-expiry short put positions.   The sk hsubstantilong-expiry long put positions ansubstantilong-expiry short call positions.   The sk hsubstantilong-expiry long call positions ansubstantishort-expiry short call positions.   The sk hsubstantishort-expiry long call positions ansubstantilong-expiry short call positions. ANSWER: D Long gamma means ththe portfolio is long options with high gammtypically short-term (short-expiry) ATM options. Short vega means ththe portfolio is short options with high vegtypically long-term (long-expiry) ATM options. The sk hsubstantishort-expiry long call positions ansubstantilong-expiry short call positions.如果改成The sk hsubstantishort-expiry long option positions ansubstantilong-expiry short option positions.正确吗? 谢谢老师。

2023-01-06 21:36 1 · 回答

NO.PZ2016082404000034问题如下 Steve, a market risk manager MarcSecurities, is analyzing the risk of its S&P 500 inx options trang sk. His risk report shows the sk is net long gamma and short vegWhiof the following portfolios of options shows exposures consistent with this report?   The sk hsubstantilong-expiry long call positions ansubstantishort-expiry short put positions.   The sk hsubstantilong-expiry long put positions ansubstantilong-expiry short call positions.   The sk hsubstantilong-expiry long call positions ansubstantishort-expiry short call positions.   The sk hsubstantishort-expiry long call positions ansubstantilong-expiry short call positions. ANSWER: D Long gamma means ththe portfolio is long options with high gammtypically short-term (short-expiry) ATM options. Short vega means ththe portfolio is short options with high vegtypically long-term (long-expiry) ATM options. short vega是指负的vega还是指vega比较小呢？能否可以通过long 短期call 得到呢？Long gamma能否通过short put长期得到呢？

2022-08-03 07:19 1 · 回答

NO.PZ2016082404000034 Steve, a market risk manager MarcSecurities, is analyzing the risk of its S&P 500 inx options trang sk. His risk report shows the sk is net long gamma anshort vegWhiof the following portfolios of options shows exposures consistent with this report?   The sk hsubstantilong-expiry long call positions ansubstantishort-expiry short put positions.   The sk hsubstantilong-expiry long put positions ansubstantilong-expiry short call positions.   The sk hsubstantilong-expiry long call positions ansubstantishort-expiry short call positions.   The sk hsubstantishort-expiry long call positions ansubstantilong-expiry short call positions. ANSWER: Long gamma means ththe portfolio is long options with high gammtypically short-term (short-expiry) ATM options. Short vega means ththe portfolio is short options with high vegtypically long-term (long-expiry) ATM options. 还是不太明白short expire和long expire的选择

2021-11-14 13:33 1 · 回答

老师，我说把答案中两个内容作为组合来考虑整体的gamma和vega的，就感觉虽然答案long一个快到期的atm的option，gamma是大了，但再short一个很长时间到期的option，gamma不又小了吗？而且short vega就是short波动，一个long call一个short call的头寸怎么就是short volatility了呢

2019-10-21 11:34 2 · 回答