w*****e
发帖数: 158 | 1 One option with the underlying being the index consisting of 30 stocks. Do
you prefer it or 30 individual options with the underlying being the
individual stocks? Assuming the price and the strike of the index one is
the sum of the prices and strikes of the individual ones.
哪位大侠给讲讲？ |
t*******y
发帖数: 637 | 2 prefer 30 individual options?
one index option payoff 是0的时候 30 individual option payoff可能是正的？
【在 w*****e 的大作中提到】
: One option with the underlying being the index consisting of 30 stocks. Do
: you prefer it or 30 individual options with the underlying being the
: individual stocks? Assuming the price and the strike of the index one is
: the sum of the prices and strikes of the individual ones.
: 哪位大侠给讲讲？
|
m*********g
发帖数: 646 | 3 Maybe I take it too simple, I think definitely should go for 30 individuals.
Consider a even more simple situation, just 2 options,one is deep out of the
money, and another one is in the money.2 individual options can give me
some payoff, but the "sum" options will pay me nothing. |
d*j
发帖数: 13780 | 4 想想 Jensen's inequality
30个太多， 用两个就够了
【在 w*****e 的大作中提到】
: One option with the underlying being the index consisting of 30 stocks. Do
: you prefer it or 30 individual options with the underlying being the
: individual stocks? Assuming the price and the strike of the index one is
: the sum of the prices and strikes of the individual ones.
: 哪位大侠给讲讲？
|
t******t
发帖数: 40 | 5 我不理解Assuming the strike of the index one is
the sum of the strikes of the individual ones.不make sense.
不过这个问题是dispersion trading，与当前index和individual的correlation相关，
不是那么简单的平均问题。
【在 w*****e 的大作中提到】
: One option with the underlying being the index consisting of 30 stocks. Do
: you prefer it or 30 individual options with the underlying being the
: individual stocks? Assuming the price and the strike of the index one is
: the sum of the prices and strikes of the individual ones.
: 哪位大侠给讲讲？
|
p******i
发帖数: 1358 | |
d********t
发帖数: 9628 | 7 One option should be optimal:
1. Less transaction fees.
2. How the index is constructed is unknown here. The index might not be the
simple sum of the 30 stocks.
3. The index is likely to have higher liquidity than the individual stocks.
Thus, the option on the index is supposed to have higher liquidity than
options on individual stocks.
4. The relationship among 30 options could be very hard to explore.
【在 w*****e 的大作中提到】
: One option with the underlying being the index consisting of 30 stocks. Do
: you prefer it or 30 individual options with the underlying being the
: individual stocks? Assuming the price and the strike of the index one is
: the sum of the prices and strikes of the individual ones.
: 哪位大侠给讲讲？
|
S*****H
发帖数: 90 | 8 It depends. If one wants to hedge a portfolio which is indexed, the index
option is better, as it costs less.
On the other hand, the problem seems asking about which you prefer.
Definitely prefer the more expensive 30 options.
the
.
【在 d********t 的大作中提到】
: One option should be optimal:
: 1. Less transaction fees.
: 2. How the index is constructed is unknown here. The index might not be the
: simple sum of the 30 stocks.
: 3. The index is likely to have higher liquidity than the individual stocks.
: Thus, the option on the index is supposed to have higher liquidity than
: options on individual stocks.
: 4. The relationship among 30 options could be very hard to explore.
|
l*****n
发帖数: 1333 | 9 dispersion or inverse dispersion, depends on the implied volatility |
z****u
发帖数: 185 | 10 of course the individuals, as it has a better payoff:
max(0,x1-k1) + max(0,x2-k2) >= max(0, (x1+x2)-(k1+k2))
【在 w*****e 的大作中提到】
: One option with the underlying being the index consisting of 30 stocks. Do
: you prefer it or 30 individual options with the underlying being the
: individual stocks? Assuming the price and the strike of the index one is
: the sum of the prices and strikes of the individual ones.
: 哪位大侠给讲讲？
|
