题目
In evaluating the dynamic delta hedging of a portfolio of short option position, which of the following is correct?
选项
A.The interest cost of carrying the delta hedge will be highest when the options are deep out-of-the-money.
B.The interest cost of carrying the delta hedge will be highest when the options are deep in-the-money.
C.The interest cost of carrying the delta hedge will be lowest when the options are at-the-money.
D.The interest cost of carrying the delta hedge will be highest when the options are at-the-money.
答案
B
解析
The deeper into-the-money the options are, the larger their deltas and therefore the more expensive to delta hedge.期权越实值，其delta值越大，因此delta套期保值价格就越高。