题目
Why is the delta normal approach not suitable for measuring options portfolio risk?
选项
A.There is a lack of data to compute the variance\/covariance matrix.
B.Options are generally short-dated instruments.
C.There are nonlinearities in option payoff.
D.Black-Scholes pricing assumptions are violated in real world.
答案
C
解析
A delta-normal method will understate the risk of an options portfolio because of strong nonlinearity in the relationship between the value of the option and the price of the underlying.由于期权价值与标的价格之间的关系具有很强的非线性，因此三角正态方法会低估期权组合的风险。