m******y
发帖数: 2 | 1 long a call option, delta hedge. suddenly the stock price drops 10%, did I
make or lose money?
我觉得赚钱。 long gamma. 在那个瞬间，可以不用考虑theta。所以赚钱。
但是听面试官的意思是赔钱。。。所以不确定。上来问问大家。 |
c**********e
发帖数: 2007 | 2 You are right. make money.
既然价格突然下价格，还没有来得及rebalance。call的delta变小了，但是卖空的股票delta未变。
刚开始，portfolio delta 是0，但是随后portfolio delta 变为负的，因此价格下降导致赚钱。 |
k*******d
发帖数: 1340 | 3 我也觉得你是对的，Hull书和Shreve书都是这么说的 |
f********y
发帖数: 278 | 4 你对的,你也可以考虑call对股票价格的斜率变小,call 的损失没有short股票赚的钱多
,这时候应该再买一些股票rebalance.
【在 m******y 的大作中提到】
: long a call option, delta hedge. suddenly the stock price drops 10%, did I
: make or lose money?
: 我觉得赚钱。 long gamma. 在那个瞬间，可以不用考虑theta。所以赚钱。
: 但是听面试官的意思是赔钱。。。所以不确定。上来问问大家。
|
x******a
发帖数: 6336 | 5 可以算出来多少吗？
【在 m******y 的大作中提到】
: long a call option, delta hedge. suddenly the stock price drops 10%, did I
: make or lose money?
: 我觉得赚钱。 long gamma. 在那个瞬间，可以不用考虑theta。所以赚钱。
: 但是听面试官的意思是赔钱。。。所以不确定。上来问问大家。
|
M********t
发帖数: 163 | 6 我记得以前看过这个东西,但是忘记在哪本书了.
请问Shreve的书哪里有讲?
【在 k*******d 的大作中提到】
: 我也觉得你是对的，Hull书和Shreve书都是这么说的
|
M********t
发帖数: 163 | 7 我遇到过一个类似情况,面试的时候对方明显是错了,还不承认.
结果我用两种不同方法算给他看.
那叫一个尴尬啊,觉得后来他非要找我不懂的方面难为我.
遇到这种情况该怎么办呢?
我就是想怂也怂不了,因为我不知道他心里的错误答案是什么.......
【在 m******y 的大作中提到】
: long a call option, delta hedge. suddenly the stock price drops 10%, did I
: make or lose money?
: 我觉得赚钱。 long gamma. 在那个瞬间，可以不用考虑theta。所以赚钱。
: 但是听面试官的意思是赔钱。。。所以不确定。上来问问大家。
|
m*********0
发帖数: 46 | 8 Consider dynamic delta hedging. After stock price drops, you need to buy
some share in order to rebalance
your portfolio to reach zero. Buying share will spend your money. That means
your current portfolio value is
negative.
So you will LOSE money when stock price drops. I think your interviewer is right.
【在 m******y 的大作中提到】
: long a call option, delta hedge. suddenly the stock price drops 10%, did I
: make or lose money?
: 我觉得赚钱。 long gamma. 在那个瞬间，可以不用考虑theta。所以赚钱。
: 但是听面试官的意思是赔钱。。。所以不确定。上来问问大家。
|
p****e
发帖数: 1028 | 9 what? are you sure?
means
right.
【在 m*********0 的大作中提到】
: Consider dynamic delta hedging. After stock price drops, you need to buy
: some share in order to rebalance
: your portfolio to reach zero. Buying share will spend your money. That means
: your current portfolio value is
: negative.
: So you will LOSE money when stock price drops. I think your interviewer is right.
|
t**********a
发帖数: 166 | 10 Do you know what mark-to-market really means? You mark the share you have
bought as zero MTM?!
means
right.
【在 m*********0 的大作中提到】
: Consider dynamic delta hedging. After stock price drops, you need to buy
: some share in order to rebalance
: your portfolio to reach zero. Buying share will spend your money. That means
: your current portfolio value is
: negative.
: So you will LOSE money when stock price drops. I think your interviewer is right.
|
|
|
m*********0
发帖数: 46 | 11 Let's consider an example given r=q=0.
At time t_1, S_1 = 30, K=20, then C_1 = 10 by risk-neutral pricing, Delta_1 = 10/30 = 1/3 so that
portfolio value is zero.
At time t_2, stock price drops 10%, S_2 = 27. Accordingly, C_2 = 7 by risk-neural pricing. So
current portfolio value is C_2 - Delta_1*S_2 = 7-(1/3)*27= -2.
We lose money since value goes from 0 to -2, right? |
t**********a
发帖数: 166 | 12 Please read Shreve's book to learn what is risk neutral pricing. thanks
1 = 10/30 = 1/3 so that
-neural pricing. So
【在 m*********0 的大作中提到】
: Let's consider an example given r=q=0.
: At time t_1, S_1 = 30, K=20, then C_1 = 10 by risk-neutral pricing, Delta_1 = 10/30 = 1/3 so that
: portfolio value is zero.
: At time t_2, stock price drops 10%, S_2 = 27. Accordingly, C_2 = 7 by risk-neural pricing. So
: current portfolio value is C_2 - Delta_1*S_2 = 7-(1/3)*27= -2.
: We lose money since value goes from 0 to -2, right?
|
m******i
发帖数: 49 | 13 how on earth can you write such a big piece of bullshit
Delta_
1 = 10/30 = 1/3 so that
risk
-neural pricing. So
【在 m*********0 的大作中提到】
: Let's consider an example given r=q=0.
: At time t_1, S_1 = 30, K=20, then C_1 = 10 by risk-neutral pricing, Delta_1 = 10/30 = 1/3 so that
: portfolio value is zero.
: At time t_2, stock price drops 10%, S_2 = 27. Accordingly, C_2 = 7 by risk-neural pricing. So
: current portfolio value is C_2 - Delta_1*S_2 = 7-(1/3)*27= -2.
: We lose money since value goes from 0 to -2, right?
|
k*****a
发帖数: 7389 | 14 其实这个哥儿们就是那个interviewer，我有点不厚道，知道mangoboy就是那天去面的
人，把他发的贴通知martian了 |
l****e
发帖数: 1718 | 15 你说martian是面试官？
【在 k*****a 的大作中提到】
: 其实这个哥儿们就是那个interviewer，我有点不厚道，知道mangoboy就是那天去面的
: 人，把他发的贴通知martian了
|
