{"id":2455,"date":"2017-05-22T22:47:07","date_gmt":"2017-05-22T14:47:07","guid":{"rendered":"https:\/\/boweihe.me\/?p=2455"},"modified":"2017-05-22T22:47:07","modified_gmt":"2017-05-22T14:47:07","slug":"risk-measurement-i-the-greeks%ef%bc%8c%e5%b8%8c%e8%85%8a%e5%80%bc","status":"publish","type":"post","link":"https:\/\/dayandcarrot.space\/?p=2455","title":{"rendered":"Risk Measurement I (the Greeks\uff0c\u5e0c\u814a\u503c)"},"content":{"rendered":"<p>\u5e0c\u814a\u503c(The Greeks)\u662f\u671f\u6743\u6216\u884d\u751f\u54c1\u5b9a\u4ef7\u7528\u7684\u6bd4\u8f83\u91cd\u8981\u7684\u6307\u6807\uff0c\u7b80\u5355\u6765\u8bf4\u6709\u4e86\u5e0c\u814a\u503c\u4ee5\u540e\u53ef\u4ee5\u62ff\u5230\u67d0\u4e2a\u4ea7\u54c1\u7684\u7406\u8bba\u4ef7\u683c(theo)\uff0c\u6709\u4e86\u7406\u8bba\u4ef7\u683c\u6211\u4eec\u5c31\u6709\u4e86\u4ea4\u6613\u7684\u65b9\u5411\u4e86\u3002<br \/>\n\u76ee\u524d\u5e38\u7528\u7684\u5e0c\u814a\u503c\u6709\u4e0b\u9762\u51e0\u79cd\uff1a<\/p>\n<ul>\n<li>Delta (\u0394)\uff1ameasure of an option&#8217;s risk with respect to the direction of movement in the underlying contract. \u901a\u4fd7\u7684\u8bb2\u5c31\u662f\u6807\u7684\u7269(underlying)\u7684\u4ef7\u503c\u53d8\u53161\u4e2a\u5355\u4f4d\u7684\u8bdd\uff0c\u671f\u6743\u7684\u4ef7\u683c\u76f8\u5e94\u5730\u4e5f\u4f1a\u53d8\u5316\u0394\uff0c\u5f53\u7136\u8fd9\u91cc\u7684\u201c\u53d8\u5316\u201d\u662f\u6709\u65b9\u5411\u7684\uff0c\u8fd9\u4e2a\u53d6\u51b3\u4e8e\u671f\u6743\u7684\u6027\u8d28(call, put)\u4ee5\u53ca\u5f53\u65f6\u7684\u5176\u4ed6\u60c5\u51b5\uff1b\u5982\u679c\u4ee5underlying\u7684\u4ef7\u503c\u4e3a\u6a2a\u8f74\uff0coption\u7684\u4ef7\u503c\u4e3a\u7eb5\u8f74\uff0c\u90a3delta\u503c\u5c31\u662f\u6240\u5bf9\u5e94\u66f2\u7ebf\u7684\u659c\u7387\u3002\u8fd8\u6709\u53e6\u4e00\u79cd\u89e3\u91ca\uff0c\u5982\u679c\u4e0d\u7ba1\u0394\u7684\u6b63\u8d1f\u53f7\u7684\u8bdd\uff0c\u5373|\u0394|\u5176\u5b9e\u662f\u7ea6\u7b49\u4e8e\u6240\u5bf9\u5e94\u671f\u6743\u6700\u540e\u6210\u4e3a\u5b9e\u503c\u671f\u6743(in-the-money)\u7684\u6982\u7387<br \/>\n<img loading=\"lazy\" decoding=\"async\" class=\"alignnone \" src=\"https:\/\/upload.wikimedia.org\/wikipedia\/commons\/2\/26\/Long_Call.PNG\" width=\"630\" height=\"501\" \/><br \/>\n\u6709\u4e00\u4e2a\u79cd\u57fa\u7840\u7684\u5bf9\u51b2\u65b9\u6cd5\u5c31\u53eb\u0394\u5bf9\u51b2(delta hedging)\u3002<\/li>\n<li>Gamma(\u0393): \u662f\u0394\u7684\u53d8\u5316\u4e0eunderlying\u4ef7\u683c\u7684\u53d8\u5316\u7387\uff0c\u6216\u8005\u8bf4underlying\u4ef7\u683c\u53d8\u53161\u4e2a\u5355\u4f4d\uff0c\u0394\u4f1a\u53d8\u5316\u591a\u5c11\u3002\u5f53\u6211\u4eec\u4e70\u5165\u671f\u6743\u65f6\uff0c\u5c31\u6784\u9020\u4e86+\u0393\u503c\uff1b\u53cd\u4e4b\u5356\u51fa\u671f\u6743\u65f6-\u0393\u3002\u5982\u679c\u0394\u770b\u505a\u201c\u901f\u5ea6\u201d\u7684\u8bdd\uff0c\u90a3\u0393\u5c31\u662f\u201c\u52a0\u901f\u5ea6\u201d\u4e86\u3002<\/li>\n<li>Theta(\u0398): \u53cd\u6620\u65f6\u95f4\u6d41\u901d\u5e26\u6765\u7684\u671f\u6743\u4ef7\u683c\u53d8\u5316\u3002\u8fd9\u4e2a\u503c\u57fa\u672c\u662f\u8d1f\u6570\u3002<\/li>\n<li>Vega(\u039a)\uff1a\u56e0\u4e3a\u6ca1\u6709\u5bf9\u5e94\u7684\u5e0c\u814a\u5b57\u6bcd\uff0c\u6240\u4ee5\u7528Kappa\u4ee3\u66ff\u4e86\u3002\u8fd9\u4e2a\u662f\u6ce2\u52a8\u7387\u53d8\u5316\u5bf9\u671f\u6743\u7406\u8bba\u4ef7\u503c\u7684\u5f71\u54cd\u3002\u4e3e\u4e2a\u4f8b\u5b50\uff0c\u5982\u679c\u4e00\u4e2a\u671f\u6743\u039a=0.15\uff0c\u90a3\u4e48\u6ce2\u52a8\u7387\u6bcf\u00b11%\uff0c\u671f\u6743\u7684\u7406\u8bba\u4ef7\u76f8\u5e94\u5730\u4f1a\u00b10.15\u3002<\/li>\n<li>Rho(\u03a1): \u671f\u6743\u7684\u7406\u8bba\u4ef7\u5bf9\u5229\u7387\u53d8\u52a8\u7684\u654f\u611f\u7a0b\u5ea6\u3002 \u8fd9\u4e2a\u503c\u5bf9\u4e8e\u5b9a\u4ef7\u6a21\u578b\u7684\u5f71\u54cd\u662f\u8fd9\u51e0\u4e2a\u5e0c\u814a\u503c\u91cc\u6700\u5c0f\u7684\uff0c\u4e00\u822c\u4e0d\u7528\u5f3a\u8c03\u6216\u8005\u76f4\u63a5\u5ffd\u7565\u8fd9\u4e2a\u53d8\u5316\u3002<\/li>\n<\/ul>\n<p>\u4e0b\u9762\u603b\u7ed3\u4e00\u4e0b\u5404\u4e2a\u5e0c\u814a\u503c\u5934\u5bf8(position)\u4e0e\u671f\u6743\u4e70\u5356\u7684\u5173\u7cfb\uff0c\u65b9\u4fbf\u8d77\u89c1\u76f4\u63a5\u7528\u82f1\u6587\u4e86\uff1a<\/p>\n<pre class=\"lang:default decode:true\">-------------------------------------------------------------------\nIf you are...   |  \u0394 pos. |  \u0393 pos. |  \u0398 pos. |  \u039a pos. |  \u03a1 pos.\n-------------------------------------------------------------------\nLong the under- |   +     |    0    |    0    |    0    |    0\nlying contract  |         |         |         |         |\n-------------------------------------------------------------------\nShort the under |   +     |    0    |    0    |    0    |    0\nlying contract  |         |         |         |         |\n-------------------------------------------------------------------\nLong Calls      |   +     |    +    |    -    |    +    | + S\n                |         |         |         |         | - F\n-------------------------------------------------------------------\nShort Calls     |   -     |    -    |    +    |    -    | - S\n                |         |         |         |         | + F\n-------------------------------------------------------------------\nLong Puts       |   -     |    +    |    -    |    +    | - S\n                |         |         |         |         | - F\n-------------------------------------------------------------------\nShort Puts      |   +     |    -    |    +    |    -    | - S\n                |         |         |         |         | + F\n-------------------------------------------------------------------\n-\/+ S = -\/+ on Stocks\n-\/+ F = -\/+ on Futures<\/pre>\n<p>\u5f88\u663e\u7136\u7684\u662f\uff0cLong\u548cShort\u662f\u4e00\u5bf9\uff0c\u7b26\u53f7\u5168\u662f\u53cd\u5411\u7684\u3002<br \/>\n\u672c\u6587\u5185\u5bb9\u6765\u81ea\u4e00\u672c\u5f88\u4e0d\u9519\u7684\u4e66\uff1a\u300aOption Volatility and Pricing (Second Edition)\u300b<\/p>\n","protected":false},"excerpt":{"rendered":"<p>\u5e0c\u814a\u503c(The Greeks)\u662f\u671f\u6743\u6216\u884d\u751f\u54c1\u5b9a\u4ef7\u7528\u7684\u6bd4\u8f83\u91cd\u8981\u7684\u6307\u6807\uff0c\u7b80\u5355\u6765\u8bf4\u6709\u4e86\u5e0c\u814a\u503c\u4ee5\u540e\u53ef\u4ee5\u62ff\u5230\u67d0\u4e2a\u4ea7\u54c1\u7684\u7406\u8bba\u4ef7\u683c(theo)\uff0c\u6709\u4e86\u7406\u8bba\u4ef7\u683c\u6211\u4eec\u5c31\u6709\u4e86\u4ea4\u6613\u7684\u65b9\u5411\u4e86\u3002 \u76ee\u524d\u5e38\u7528\u7684\u5e0c\u814a\u503c\u6709\u4e0b\u9762\u51e0\u79cd\uff1a Delta (\u0394)\uff1ameasure of an option&#8217;s risk with respect to the direction of movement in the underlying contract. \u901a\u4fd7\u7684\u8bb2\u5c31\u662f\u6807\u7684\u7269(underlying)\u7684\u4ef7\u503c\u53d8\u53161\u4e2a\u5355\u4f4d\u7684\u8bdd\uff0c\u671f\u6743\u7684\u4ef7\u683c\u76f8\u5e94\u5730\u4e5f\u4f1a\u53d8\u5316\u0394\uff0c\u5f53\u7136\u8fd9\u91cc\u7684\u201c\u53d8\u5316\u201d\u662f\u6709\u65b9\u5411\u7684\uff0c\u8fd9\u4e2a\u53d6\u51b3\u4e8e\u671f\u6743\u7684\u6027\u8d28(call, put)\u4ee5\u53ca\u5f53\u65f6\u7684\u5176\u4ed6\u60c5\u51b5\uff1b\u5982\u679c\u4ee5underlying\u7684\u4ef7\u503c\u4e3a\u6a2a\u8f74\uff0coption\u7684\u4ef7\u503c\u4e3a\u7eb5\u8f74\uff0c\u90a3delta\u503c\u5c31\u662f\u6240\u5bf9\u5e94\u66f2\u7ebf\u7684\u659c\u7387\u3002\u8fd8\u6709\u53e6\u4e00\u79cd\u89e3\u91ca\uff0c\u5982\u679c\u4e0d\u7ba1\u0394\u7684\u6b63\u8d1f\u53f7\u7684\u8bdd\uff0c\u5373|\u0394|\u5176\u5b9e\u662f\u7ea6\u7b49\u4e8e\u6240\u5bf9\u5e94\u671f\u6743\u6700\u540e\u6210\u4e3a\u5b9e\u503c\u671f\u6743(in-the-money)\u7684\u6982\u7387 \u6709\u4e00\u4e2a\u79cd\u57fa\u7840\u7684\u5bf9\u51b2\u65b9\u6cd5\u5c31\u53eb\u0394\u5bf9\u51b2(delta hedging)\u3002 Gamma(\u0393): \u662f\u0394\u7684\u53d8\u5316\u4e0eunderlying\u4ef7\u683c\u7684\u53d8\u5316\u7387\uff0c\u6216\u8005\u8bf4underlying\u4ef7\u683c\u53d8\u53161\u4e2a\u5355\u4f4d\uff0c\u0394\u4f1a\u53d8\u5316\u591a\u5c11\u3002\u5f53\u6211\u4eec\u4e70\u5165\u671f\u6743\u65f6\uff0c\u5c31\u6784\u9020\u4e86+\u0393\u503c\uff1b\u53cd\u4e4b\u5356\u51fa\u671f\u6743\u65f6-\u0393\u3002\u5982\u679c\u0394\u770b\u505a\u201c\u901f\u5ea6\u201d\u7684\u8bdd\uff0c\u90a3\u0393\u5c31\u662f\u201c\u52a0\u901f\u5ea6\u201d\u4e86\u3002 Theta(\u0398): \u53cd\u6620\u65f6\u95f4\u6d41\u901d\u5e26\u6765\u7684\u671f\u6743\u4ef7\u683c\u53d8\u5316\u3002\u8fd9\u4e2a\u503c\u57fa\u672c\u662f\u8d1f\u6570\u3002 Vega(\u039a)\uff1a\u56e0\u4e3a\u6ca1\u6709\u5bf9\u5e94\u7684\u5e0c\u814a\u5b57\u6bcd\uff0c\u6240\u4ee5\u7528Kappa\u4ee3\u66ff\u4e86\u3002\u8fd9\u4e2a\u662f\u6ce2\u52a8\u7387\u53d8\u5316\u5bf9\u671f\u6743\u7406\u8bba\u4ef7\u503c\u7684\u5f71\u54cd\u3002\u4e3e\u4e2a\u4f8b\u5b50\uff0c\u5982\u679c\u4e00\u4e2a\u671f\u6743\u039a=0.15\uff0c\u90a3\u4e48\u6ce2\u52a8\u7387\u6bcf\u00b11%\uff0c\u671f\u6743\u7684\u7406\u8bba\u4ef7\u76f8\u5e94\u5730\u4f1a\u00b10.15\u3002 Rho(\u03a1): \u671f\u6743\u7684\u7406\u8bba\u4ef7\u5bf9\u5229\u7387\u53d8\u52a8\u7684\u654f\u611f\u7a0b\u5ea6\u3002 \u8fd9\u4e2a\u503c\u5bf9\u4e8e\u5b9a\u4ef7\u6a21\u578b\u7684\u5f71\u54cd\u662f\u8fd9\u51e0\u4e2a\u5e0c\u814a\u503c\u91cc\u6700\u5c0f\u7684\uff0c\u4e00\u822c\u4e0d\u7528\u5f3a\u8c03\u6216\u8005\u76f4\u63a5\u5ffd\u7565\u8fd9\u4e2a\u53d8\u5316\u3002 \u4e0b\u9762\u603b\u7ed3\u4e00\u4e0b\u5404\u4e2a\u5e0c\u814a\u503c\u5934\u5bf8(position)\u4e0e\u671f\u6743\u4e70\u5356\u7684\u5173\u7cfb\uff0c\u65b9\u4fbf\u8d77\u89c1\u76f4\u63a5\u7528\u82f1\u6587\u4e86\uff1a &#8212;&#8212;&#8212;&#8212;&#8212;&#8212;&#8212;&#8212;&#8212;&#8212;&#8212;&#8212;&#8212;&#8212;&#8212;&#8212;&#8212;&#8212;&#8212;&#8212;&#8212;&#8212;- If you are&#8230; | \u0394 pos. | \u0393 pos. | \u0398 pos. | \u039a pos. | \u03a1 pos. &#8212;&#8212;&#8212;&#8212;&#8212;&#8212;&#8212;&#8212;&#8212;&#8212;&#8212;&#8212;&#8212;&#8212;&#8212;&#8212;&#8212;&#8212;&#8212;&#8212;&#8212;&#8212;- Long the [&hellip;]<\/p>\n","protected":false},"author":1,"featured_media":0,"comment_status":"open","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[4],"tags":[83,113],"class_list":["post-2455","post","type-post","status-publish","format-standard","hentry","category-study","tag-options","tag-trading"],"_links":{"self":[{"href":"https:\/\/dayandcarrot.space\/index.php?rest_route=\/wp\/v2\/posts\/2455","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/dayandcarrot.space\/index.php?rest_route=\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/dayandcarrot.space\/index.php?rest_route=\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/dayandcarrot.space\/index.php?rest_route=\/wp\/v2\/users\/1"}],"replies":[{"embeddable":true,"href":"https:\/\/dayandcarrot.space\/index.php?rest_route=%2Fwp%2Fv2%2Fcomments&post=2455"}],"version-history":[{"count":0,"href":"https:\/\/dayandcarrot.space\/index.php?rest_route=\/wp\/v2\/posts\/2455\/revisions"}],"wp:attachment":[{"href":"https:\/\/dayandcarrot.space\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=2455"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/dayandcarrot.space\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=2455"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/dayandcarrot.space\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=2455"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}