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　　1.  金融市場(chǎng)與產(chǎn)品練習(xí)題第54題這類(lèi)delta hedge問(wèn)題解題思路是什么?
　　Initially, the call option on Big Kahuna Inc. with 90 days to maturity trades at USD 1.40. The option has a delta of 0.5739. A dealer sells 200 call option contracts, and to delta-hedge the position, the dealer purchases 11,478 shares of the stock at the current market price of USD 100 per share. The following day, the prices of both the stock and the call option increase. Consequently, delta increases to 0.7040. To maintain the delta hedge, the dealer should
　　A.        sell 2,602 shares
　　B.        sell 1,493 shares
　　C.       purchase 1,493 shares
　　D.       purchase 2,602 shares
　　Answer: D
　　答疑；其實(shí)這種題目的本質(zhì)是使原有頭寸的線性風(fēng)險(xiǎn)能夠被對(duì)沖頭寸的收益所覆蓋，在這道題中就相當(dāng)于由股價(jià)變動(dòng)引發(fā)的期權(quán)的價(jià)格變化（由delta反映）能夠由購(gòu)買(mǎi)或者賣(mài)出股票獲得的收益所覆蓋?？梢詤⒖糷andbook P322的公式進(jìn)行理解，原理是一樣的。這題的關(guān)鍵是200 call option contracts，而每個(gè)合約里面有100個(gè)期權(quán)，所以總共有200*100=10000個(gè)期權(quán)。