5577数理金融简单数值题short
Delta Hedge Rebalance 2
题目
A desk is long 120 option contracts, each on 100 shares. The option delta moves from -0.31 to -0.22 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?
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你的答案
old_hedge
new_hedge
trade