5576数理金融简单数值题short
Delta Hedge Rebalance 1
题目
A desk is long 250 option contracts, each on 100 shares. The option delta moves from 0.42 to 0.48 after the market moves. How many shares should the desk hold before and after, and how many shares must it trade to rebalance to delta neutral?
解题计时
0:00
提交作答时记录,用于后续平均用时统计。
你的答案
old_hedge
new_hedge
trade