Angry＂No. 发表于 2013-11-5 21:25
除了买看跌股指期权没有其他办法了吗？如果买看跌股指期权，是不是需要算出beta和delta值？

MySweets 发表于 2013-11-5 22:29
对的，股指期权也分几种，算出beta和delta才能确定股票和期权的对冲比例等等

Angry＂No. 发表于 2013-11-6 07:06
你知道怎么用beta和delta值来对冲吗大哥？

Chemist_MZ 发表于 2013-11-6 07:22
It's not hard,

Your portfolio's beta=b, while the index's beta is needless to say equals to 1

Chemist_MZ 发表于 2013-11-6 07:22
It's not hard,

Your portfolio's beta=b, while the index's beta is needless to say equals to 1

Angry＂No. 发表于 2013-11-6 08:17
by the way, i am using the Black-Scholes model for evaluating it, so i have to get the strike pric ...

Chemist_MZ 发表于 2013-11-6 08:52
You are using index option, so the delta is of course the index option's delta.

Strike price ca ...

Angry＂No. 发表于 2013-11-6 09:53
as the question i asked u early, if the index is 3000 now, it's the strike price is around 3000? o ...

Chemist_MZ 发表于 2013-11-6 10:27
Option is a series of contracts namely the strike is not unique. If the index is 3000 the strike m ...

Angry＂No. 发表于 2013-11-5 19:22
感觉不太妥当，应该是买一只什么股指的，如果分别买5个股票的期权就不是组合了

simulink2011 发表于 2013-11-7 11:38
买股指是比较常用的方法，但前提是必须知道这五种股票的权重啊！

simulink2011 发表于 2013-11-7 11:38
买股指是比较常用的方法，但前提是必须知道这五种股票的权重啊！

Chemist_MZ 发表于 2013-11-6 08:52
You are using index option, so the delta is of course the index option's delta.

Strike price ca ...

liankane 发表于 2015-6-16 15:48
Hi, As you mentioned above, there are two ways to use index option, I have a question, that is wha ...

Chemist_MZ 发表于 2015-6-17 09:12
They are very different. Hedge the daily price change is you hedge the risk on a whole stock path  ...