题目
It is often possible to estimate the Value at Risk of a vanilla European options portfolio by using a delta-gamma methodology rather than exact valuation formulas because:
选项
A.Delta and gamma are the first two terms in the Taylor series expansion of the change in an option price as a function of the change in the underlying and the remaining terms are often insignificant.
B.It is only delta and gamma risk that can be hedged.
C.Unlike the price, delta and gamma for a European option can be computed in closed form.
D.Both A and C, but not B.
答案
A
解析
Delta-gamma methodology captures the first and second order changes in the price in relation to changes in the value of the underlying. For plain vanilla options this constitutes the major factors influencing the price of the options.Delta-Gamma方法可获取与基础价值变化相关的价格的一阶和二阶变化。 对于普通香草期权，这是影响期权价格的主要因素。