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call 的 Greeks

Greeks - Solution

专题
Finance / 金融
难度
L4

题目详情

金融数学题:call 的 Greeks。

英文原题

Calculate the greeks Δ,Γ,V,ρ,Θ\Delta ,\Gamma ,\mathcal{V},\rho ,\Theta for a call option.

解析

Black–Scholes(连续分红率 qq):

C=Se−qτN(d1)−Ke−rτN(d2),τ=T−t,C=Se^{-q\tau}N(d_1)-Ke^{-r\tau}N(d_2),\quad \tau=T-t, d1=ln⁡(S/K)+(r−q+12σ2)τστ,d2=d1−στ.d_1=\frac{\ln(S/K)+(r-q+\tfrac12\sigma^2)\tau}{\sigma\sqrt{\tau}},\quad d_2=d_1-\sigma\sqrt{\tau}.

令 φ\varphi 为标准正态密度:

  • Δ=∂SC=e−qτN(d1)\boxed{\Delta=\partial_S C=e^{-q\tau}N(d_1)}
  • Γ=∂SSC=e−qτφ(d1)Sστ\boxed{\Gamma=\partial_{SS}C=\frac{e^{-q\tau}\varphi(d_1)}{S\sigma\sqrt{\tau}}}
  • V=∂σC=Se−qτφ(d1)τ\boxed{\mathcal{V}=\partial_{\sigma}C=Se^{-q\tau}\varphi(d_1)\sqrt{\tau}}(vega)
  • ρ=∂rC=Kτe−rτN(d2)\boxed{\rho=\partial_r C=K\tau e^{-r\tau}N(d_2)}
  • Θ=∂tC=−Se−qτφ(d1)σ2τ−rKe−rτN(d2)+qSe−qτN(d1)\boxed{\Theta=\partial_t C=-\frac{Se^{-q\tau}\varphi(d_1)\sigma}{2\sqrt{\tau}}-rKe^{-r\tau}N(d_2)+qSe^{-q\tau}N(d_1)}

英文解析

C=Se−qτN(d1)−Ke−rτN(d2),τ=T−t,C=Se^{-q\tau}N(d_1)-Ke^{-r\tau}N(d_2),\quad \tau=T-t, d1=ln⁡(S/K)+(r−q+12σ2)τστ,d2=d1−στ.d_1=\frac{\ln(S/K)+(r-q+\tfrac12\sigma^2)\tau}{\sigma\sqrt{\tau}},\quad d_2=d_1-\sigma\sqrt{\tau}.
  • Δ=∂SC=e−qτN(d1)\boxed{\Delta=\partial_S C=e^{-q\tau}N(d_1)}
  • Γ=∂SSC=e−qτφ(d1)Sστ\boxed{\Gamma=\partial_{SS}C=\frac{e^{-q\tau}\varphi(d_1)}{S\sigma\sqrt{\tau}}}
  • V=∂σC=Se−qτφ(d1)τ\boxed{\mathcal{V}=\partial_{\sigma}C=Se^{-q\tau}\varphi(d_1)\sqrt{\tau}}(vega)
  • ρ=∂rC=Kτe−rτN(d2)\boxed{\rho=\partial_r C=K\tau e^{-r\tau}N(d_2)}
  • Θ=∂tC=−Se−qτφ(d1)σ2τ−rKe−rτN(d2)+qSe−qτN(d1)\boxed{\Theta=\partial_t C=-\frac{Se^{-q\tau}\varphi(d_1)\sigma}{2\sqrt{\tau}}-rKe^{-r\tau}N(d_2)+qSe^{-q\tau}N(d_1)}