t*****e
发帖数: 38 | 1 1) how would you replicate a binary call from vanilla call and put?
I said by using two strike with k and k - delta and then normalize?
2) you have 4 risk reports for 3 portfolios and the cumulative portfolio?
under what condition that the cumulative delta, gamma are not the sum of
individual deltas and gammas?
give me some baozi bah |
i*****r
发帖数: 1302 | |
i*******g
发帖数: 276 | |
z****g
发帖数: 1978 | 4 My guess is that the assets are different. Say one is equity, another is
commodity
【在 i*******g 的大作中提到】
: 第二题这么做？。。。
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b******e
发帖数: 118 | 5 第一题put怎么放进去？我只知道用bull spread，两个call options
【在 t*****e 的大作中提到】
: 1) how would you replicate a binary call from vanilla call and put?
: I said by using two strike with k and k - delta and then normalize?
: 2) you have 4 risk reports for 3 portfolios and the cumulative portfolio?
: under what condition that the cumulative delta, gamma are not the sum of
: individual deltas and gammas?
: give me some baozi bah
|
c****o
发帖数: 1280 | 6 For the binary call, the payoff is discontinuous, while for vanilla call and
put the payoffs are continuous, which means any combination of them are
continuous, is it possible to replicate?
Maybe I am too naive here.....
【在 b******e 的大作中提到】
: 第一题put怎么放进去？我只知道用bull spread，两个call options
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