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Quant版 - [合集] hedging question
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r*****t
发帖数: 286
1
☆─────────────────────────────────────☆
ThatYear (那年) 于 (Thu Feb 22 07:43:38 2007) 提到:
underlying X, a floor F, a cap C
payoff 1/min(max(X, F),C)
how to hedge it with European options on X with dierent strikes.
☆─────────────────────────────────────☆
njupeer (小虫) 于 (Thu Feb 22 11:41:33 2007) 提到:
Stock Price Payoff
X F C Now I can construct a bear spread by sell a call at Strike F (price PC1) and
buy a call at strike C
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