{"id":128988,"date":"2022-10-27T16:35:53","date_gmt":"2022-10-27T08:35:53","guid":{"rendered":"https:\/\/\/?p=128988"},"modified":"2023-04-19T15:25:27","modified_gmt":"2023-04-19T07:25:27","slug":"%e9%81%b8%e6%93%87%e6%ac%8a-delta","status":"publish","type":"post","link":"https:\/\/\/%e9%81%b8%e6%93%87%e6%ac%8a-delta\/","title":{"rendered":"\u4ec0\u9ebc\u662f\u9078\u64c7\u6b0a Delta \uff1f\u770b\u61c2\u9019 3 \u5927\u7279\u9ede\u4e86\u89e3\u50f9\u683c\u6f32\u8dcc\u539f\u7406"},"content":{"rendered":"\n

<\/p>\n\n\n\n

\u82e5\u4f60\u60f3\u4e86\u89e3\u9078\u64c7\u6b0a Delta \uff0c\u672c\u6587\u5c07\u8207\u4f60\u5206\u4eab\u95dc\u65bc\u9078\u64c7\u6b0a Delta \u7684 3 \u5927\u7279\u9ede\uff0c\u8b93\u4f60\u53ef\u4ee5\u4e86\u89e3\u50f9\u683c\u6f32\u8dcc\u539f\u7406\uff01<\/p>\n\n\n\n

<\/p>\n\n\n\n

\u63d0\u5230\u4ea4\u6613\u9078\u64c7\u6b0a\u7684\u6642\u5019\uff0c\u5927\u5bb6\u591a\u534a\u7684\u5370\u8c61\u662f\u8cb7\u9078\u64c7\u6b0a\u50cf\u8cb7\u6a02\u900f\u4e00\u6a23\uff0c\u6709\u4e2d\u6703\u7ffb\u500d\uff0c\u6c92\u4e2d\u5c31\u6b78\u96f6\u3002<\/p>\n\n\n\n

\u7576\u6295\u8cc7\u4eba\u62b1\u6301\u8457\u8cb7\u6a02\u900f\u7684\u60f3\u6cd5\u4ea4\u6613\u6642\uff0c\u5c0d\u65bc\u9078\u64c7\u6b0a\u50f9\u683c\u6f32\u8dcc\u7684\u539f\u7406\u81ea\u7136\u662f\u5f88\u964c\u751f\u7684\uff0c\u66f4\u5225\u8aaa\u8981\u4e86\u89e3\u80cc\u5f8c\u9078\u64c7\u6b0a Delta \u4fc2\u6578\u7684\u539f\u7406\u3002<\/p>\n\n\n\n

\u5982\u679c\u771f\u7684\u60f3\u8981\u5b78\u6703\u4ea4\u6613\u9078\u64c7\u6b0a\uff0c\u90a3\u4f60\u52e2\u5fc5\u8981\u5b78\u7fd2\u5982\u4f55\u770b\u61c2\u9078\u64c7\u6b0a Delta \u3002<\/p>\n\n\n\n

<\/p>\n\n\n\n

\"\u9078\u64c7\u6b0a
<\/figcaption><\/figure>\n\n\n\n

<\/p>\n\n\n\n

\u7279\u9ede\u4e00\u3001\u4ec0\u9ebc\u662f\u9078\u64c7\u6b0a Delta <\/h2>\n\n\n\n

<\/p>\n\n\n\n

\u9078\u64c7\u6b0a Delta\u00a0\u503c\u6307\u7684\u662f\u7576\u6a19\u7684\u7269\u50f9\u683c\uff08\u4ee5\u53f0\u6307\u9078\u64c7\u6b0a<\/a>\u4f86\u8aaa\uff0c\u6a19\u7684\u5c31\u662f\u52a0\u6b0a\u6307\u6578\uff09\u6bcf\u8b8a\u52d5 1 \u55ae\u4f4d\uff0c\u9078\u64c7\u6b0a\u50f9\u683c\u7684\u8b8a\u5316\u7a0b\u5ea6\uff0c\u800c\u9078\u64c7\u6b0a\u8cb7\u6b0a\u7684 Delta \u503c\u4ecb\u5728 0 ~ 1 \u4e4b\u9593\uff0c\u8ce3\u6b0a Delta \u503c\u5247\u662f\u4ecb\u5728 \uff0d1 \uff5e 0 \u4e4b\u9593\u3002<\/p>\n\n\n\n

\u5047\u8a2d\u5c65\u7d04\u50f9 14000 \u7684\u8cb7\u6b0a Delta  \u503c\u70ba 0.4 \uff0c\u7576\u52a0\u6b0a\u6307\u6578\u4e0a\u6f32 20 \u9ede\u6642\uff0c\u8cb7\u6b0a\u50f9\u683c\u61c9\u8a72\u6703\u4e0a\u6f32 8 \u9ede\uff08 20 \uff0a 0.4 \uff09\uff0c\u53cd\u4e4b\uff0c\u7576 14000 \u7684\u8ce3\u6b0a Delta \u503c\u70ba 0.6 \u6642\uff0c\u7576\u52a0\u6b0a\u6307\u6578\u4e0b\u8dcc 20 \u9ede\u6642\uff0c\u8ce3\u6b0a\u50f9\u683c\u7406\u8ad6\u503c\u4e5f\u6703\u4e0b\u8dcc 8 \u9ede\u3002<\/p>\n\n\n\n

<\/p>\n\n\n\n

\u63a8\u85a6\u95b1\u8b80\uff1a\u9078\u64c7\u6b0a Delta \u8a72\u600e\u9ebc\u770b\uff1f\u770b\u61c2 2 \u5927\u91cd\u9ede\uff0c\u638c\u63e1\u9078\u64c7\u6b0a\u50f9\u683c\u8b8a\u5316\u95dc\u9375<\/a><\/p>\n\n\n\n

\u63a8\u85a6\u95b1\u8b80\uff1a\u8a8d\u8b58\u98a8\u96aa\u4fc2\u6578 Beta \u503c\uff0c\u8b93\u4f60\u638c\u63e1\u5404\u6295\u8cc7\u5e02\u5834\u98a8\u96aa\uff01<\/a><\/p>\n\n\n\n

<\/p>\n\n\n\n

\u7279\u9ede\u4e8c\u3001\u9078\u64c7\u6b0a Delta \u4ee5\u5916\u5f71\u97ff\u50f9\u683c\u7684\u56e0\u7d20<\/h2>\n\n\n\n

<\/p>\n\n\n\n

\"\u4ec0\u9ebc\u662f\u9078\u64c7\u6b0a
<\/figcaption><\/figure>\n\n\n\n

<\/p>\n\n\n\n

\u9078\u64c7\u6b0a\u50f9\u683c\u516c\u5f0f\u7531\u7f8e\u570b\u7d93\u6fdf\u5b78\u5bb6\u9ea5\u502b\u00b7\u8212\u723e\u65af\u8207\u8cbb\u96ea\u00b7\u5e03\u840a\u514b\u63d0\u51fa\u7684 Black\uff0dScholes Model \u63a8\u5c0e\u800c\u4f86\uff0c\u5176\u4e2d\u7684\u63a8\u5c0e\u516c\u5f0f\u8f03\u8907\u96dc\uff0c\u4f46\u5f9e\u516c\u5f0f\u4e2d\u4e3b\u8981\u7684\u53c3\u6578\u6211\u5011\u80fd\u5920\u5f97\u77e5\u5f71\u97ff\u9078\u64c7\u6b0a\u50f9\u683c\u7684\u95dc\u9375\u3002<\/p>\n\n\n\n

\u9019\u4e9b\u95dc\u9375\u5c31\u662f\u9078\u64c7\u6b0a\u7684\u98a8\u96aa\u53c3\u6578\uff08 Delta \uff08\u0394\uff09\u3001 Gamma \uff08\u0393\uff09\u3001 Vega \uff08\u03bd\uff09\u3001 Rho \u8207 Theta \uff08\u03b8\uff09\uff09\uff0c\u5206\u5225\u70ba\u50f9\u683c\u7684\u8b8a\u52d5\u5ea6\u3001\u50f9\u683c\u8b8a\u5316\u7684\u52a0\u901f\u5ea6\u3001\u5c0d\u6ce2\u52d5\u7387\u8b8a\u5316\u7684\u654f\u611f\u5ea6\u3001\u5229\u7387\u8b8a\u5316\u53ca\u6642\u9593\u50f9\u503c\u7684\u8b8a\u5316\uff0c\u9019\u4e9b\u56e0\u7d20\u90fd\u6703\u5c0d\u50f9\u683c\u7522\u751f\u5f71\u97ff\u3002<\/p>\n\n\n\n

\u9019\u4e9b\u98a8\u96aa\u53c3\u6578\u4e2d\uff0cGamma \uff08\u0393\uff09\u503c\u662f\u6703\u5f71\u97ff\u5230 Delta \uff08\u0394\uff09\u7684\u8b8a\u5316\u7684\uff0c\u56e0\u70baGamma \uff08\u0393\uff09\u503c\u4ee3\u8868\u7684\u662f\u8861\u91cf Delta \u5c0d\u6a19\u7684\u8cc7\u7522\u50f9\u683c\u7684\u654f\u611f\u5ea6\u3002<\/p>\n\n\n\n

<\/p>\n\n\n\n

\u63a8\u85a6\u95b1\u8b80\uff1a\u5167\u542b\u50f9\u503c\u600e\u9ebc\u7b97\uff1f \u4ea4\u6613\u9078\u64c7\u6b0a\u524d\u5fc5\u9808\u77e5\u9053\u7684 3 \u5927\u5167\u542b\u50f9\u503c\u7279\u9ede<\/a><\/p>\n\n\n\n

\u63a8\u85a6\u95b1\u8b80\uff1a\u300c\u6b0a\u8b49 \u9078\u64c7\u6b0a\u300d\u5169\u8005\u50bb\u50bb\u5206\u4e0d\u6e05\u695a\uff0c\u5feb\u901f\u5e36\u4f60\u8a8d\u8b58\u9019 2 \u500b\u5546\u54c1\u7684\u7279\u6027\u8207\u5dee\u7570<\/a><\/p>\n\n\n\n

<\/p>\n\n\n\n

\u7279\u9ede\u4e09\u3001\u61c9\u7528\u4ea4\u6613\u7b56\u7565<\/h2>\n\n\n\n

<\/p>\n\n\n\n

\u5e38\u898b\u7684 Delta \u7b56\u7565\u70ba Delta  Neutral \uff0c Delta  Neutral \u7b56\u7565\u662f\u4e00\u7a2e\u4e2d\u6027\u7b56\u7565\uff0c\u900f\u904e\u5e73\u8861\u9078\u64c7\u6b0a\u90e8\u4f4d\u7684 Delta \u503c\uff0c\u8b93\u6574\u9ad4\u9078\u64c7\u6b0a\u90e8\u4f4d\u4e0d\u6703\u504f\u5411\u591a\u6216\u7a7a\uff0c\u6240\u4ee5\u9019\u6a23\u7684\u7b56\u7565\u53ea\u8981\u662f\u9760\u9810\u6e2c\u6ce2\u52d5\u7684\u5927\u5c0f\u4f86\u7372\u5229\uff0c\u800c\u4e0d\u662f\u9760\u8457\u9810\u6e2c\u50f9\u683c\u7684\u65b9\u5411\u3002<\/p>\n\n\n\n

\u8de8\u5f0f\u7b56\u7565\uff08\u540c\u6642\u96d9\u8cb7\u3001\u96d9\u8ce3\u540c\u4e00\u5c65\u7d04\u50f9\u7684 CALL \u3001 PUT \uff09\u3001\u52d2\u5f0f\u7b56\u7565\uff08\u540c\u6642\u96d9\u8cb7\u3001\u96d9\u8ce3\u4e0d\u540c\u5c65\u7d04\u50f9\u7684 CALL \u3001 PUT \uff09\u90fd\u662f\u57fa\u65bc\u7dad\u6301 Delta \u503c\u63a5\u8fd1 0 \u7684\u4e2d\u6027\u7b56\u7565\uff0c\u900f\u904e\u5e73\u8861 Delta \u503c\u4f86\u6e1b\u5c11\u9810\u6e2c\u5e02\u5834\u591a\u7a7a\uff0c\u53ea\u9760\u4ea4\u6613\u6ce2\u52d5\u5ea6\u7372\u5229\u3002<\/p>\n\n\n\n

<\/p>\n\n\n\n

\u63a8\u85a6\u95b1\u8b80\uff1a\u9078\u64c7\u6b0a\u7d44\u5408\u7b56\u7565\u6709\u54ea\u4e9b\uff1f \u9019 3 \u500b\u5e38\u898b\u7372\u5229\u7b56\u7565\u4f60\u6703\u4e86\u55ce\uff1f<\/a><\/p>\n\n\n\n

\u63a8\u85a6\u95b1\u8b80\uff1a\u9078\u64c7\u6b0a PUT \u662f\u4ec0\u9ebc\uff1f\u9078\u64c7\u6b0a\u653e\u7a7a\u524d\uff0c\u5fc5\u9808\u5148\u4e86\u89e3\u7684 2 \u5927\u8981\u9ede<\/a><\/p>\n\n\n\n

<\/p>\n\n\n\n

\"\u9078\u64c7\u6b0a
<\/figcaption><\/figure>\n\n\n\n

<\/p>\n\n\n\n

\u7d50\u8a9e\uff1a\u719f\u6089\u9078\u64c7\u6b0a Delta \u503c\uff0c\u589e\u52a0\u5c0d\u50f9\u683c\u8b8a\u5316\u7684\u654f\u611f\u5ea6<\/h2>\n\n\n\n

<\/p>\n\n\n\n

\u5f88\u591a\u4ea4\u6613\u8005\u8cb7\u8ce3\u9078\u64c7\u6b0a\u7684\u6642\u5019\uff0c\u4e0d\u77e5\u9053\u9078\u64c7\u6b0a\u50f9\u683c\u8b8a\u5316\u7684\u539f\u7406\u662f\u4ec0\u9ebc\uff0c\u5c0e\u81f4\u5f88\u5feb\u5c31\u9047\u5230\u8667 0 \u6216\u662f\u66b4\u6f32\u7684\u72c0\u6cc1\uff0c\u5c0e\u81f4\u8d85\u984d\u8667\u640d\u3002<\/p>\n\n\n\n

\u7576\u4f60\u77e5\u9053\u9078\u64c7\u6b0a Delta \u503c\u7684\u539f\u7406\u4e4b\u5f8c\uff0c\u5c31\u80fd\u5920\u63d0\u9ad8\u5c0d\u50f9\u683c\u8b8a\u5316\u7684\u654f\u611f\u5ea6\uff0c\u63d0\u524d\u9810\u64ec\u9069\u5408\u7684\u4ea4\u6613\u6c7a\u7b56\u3002<\/p>\n\n\n\n

<\/p>\n\n\n\n

\u63a8\u85a6\u95b1\u8b80\uff1aPC ratio \u662f\u4ec0\u9ebc\uff1f\u628a\u63e1 3\u5927\u8981\u9ede\uff0c\u5feb\u901f\u5224\u65b7\u9078\u64c7\u6b0a\u884c\u60c5<\/a><\/p>\n\n\n\n

<\/div>\n\n\n\n

\u53c3\u8003\u8cc7\u6599<\/strong><\/p>\n\n\n\n

    \n
  1. \u9078\u64c7\u6b0a  Delta \u3001gamma \u662f\u4ec0\u9ebc\uff1f<\/a><\/li>\n\n\n\n
  2. \u6295\u8cc7\u4e2d\u7684\u907f\u514d\u4e0d\u4e00\u81f4\u50be\u5411\u548c\u9078\u64c7\u6b0a Delta \uff08\u4e0b\uff09<\/a> <\/li>\n\n\n\n
  3. \u300a\u671f\u8ca8\u8207\u9078\u64c7\u6b0a\u300b<\/a><\/li>\n\n\n\n
  4. \u5e02\u5834\u4e2d\u6027\u7b56\u7565\u662f\u4ec0\u9ebc\uff1f\u6709\u4ec0\u9ebc\u512a\u9ede\u8207\u7f3a\u9ede\uff1f<\/a><\/li>\n<\/ol>\n","protected":false},"excerpt":{"rendered":"

    \u82e5\u4f60\u60f3\u4e86\u89e3\u9078\u64c7\u6b0a Delta \uff0c\u672c\u6587\u5c07\u8207\u4f60\u5206\u4eab\u95dc\u65bc\u9078\u64c7\u6b0a Delta \u7684 3 \u5927\u7279\u9ede\uff0c\u8b93\u4f60\u53ef\u4ee5\u4e86\u89e3\u50f9\u683c\u6f32\u8dcc\u539f\u7406 […]<\/p>\n","protected":false},"author":9,"featured_media":128989,"comment_status":"open","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"site-sidebar-layout":"default","site-content-layout":"","ast-site-content-layout":"","site-content-style":"default","site-sidebar-style":"default","ast-global-header-display":"","ast-banner-title-visibility":"","ast-main-header-display":"","ast-hfb-above-header-display":"","ast-hfb-below-header-display":"","ast-hfb-mobile-header-display":"","site-post-title":"","ast-breadcrumbs-content":"","ast-featured-img":"","footer-sml-layout":"","theme-transparent-header-meta":"","adv-header-id-meta":"","stick-header-meta":"","header-above-stick-meta":"","header-main-stick-meta":"","header-below-stick-meta":"","astra-migrate-meta-layouts":"default","ast-page-background-enabled":"default","ast-page-background-meta":{"desktop":{"background-color":"","background-image":"","background-repeat":"repeat","background-position":"center center","background-size":"auto","background-attachment":"scroll","background-type":"","background-media":"","overlay-type":"","overlay-color":"","overlay-gradient":""},"tablet":{"background-color":"","background-image":"","background-repeat":"repeat","background-position":"center center","background-size":"auto","background-attachment":"scroll","background-type":"","background-media":"","overlay-type":"","overlay-color":"","overlay-gradient":""},"mobile":{"background-color":"","background-image":"","background-repeat":"repeat","background-position":"center center","background-size":"auto","background-attachment":"scroll","background-type":"","background-media":"","overlay-type":"","overlay-color":"","overlay-gradient":""}},"ast-content-background-meta":{"desktop":{"background-color":"var(--ast-global-color-5)","background-image":"","background-repeat":"repeat","background-position":"center center","background-size":"auto","background-attachment":"scroll","background-type":"","background-media":"","overlay-type":"","overlay-color":"","overlay-gradient":""},"tablet":{"background-color":"var(--ast-global-color-5)","background-image":"","background-repeat":"repeat","background-position":"center center","background-size":"auto","background-attachment":"scroll","background-type":"","background-media":"","overlay-type":"","overlay-color":"","overlay-gradient":""},"mobile":{"background-color":"var(--ast-global-color-5)","background-image":"","background-repeat":"repeat","background-position":"center center","background-size":"auto","background-attachment":"scroll","background-type":"","background-media":"","overlay-type":"","overlay-color":"","overlay-gradient":""}},"footnotes":""},"categories":[42],"tags":[],"jetpack_sharing_enabled":true,"jetpack_featured_media_url":"https:\/\/\/wp-content\/uploads\/2022\/10\/\u4ec0\u9ebc\u662f\u9078\u64c7\u6b0a-Delta-\uff1f\u770b\u61c2\u9078\u64c7\u6b0a-Delta-3-\u5927\u7279\u9ede\u4e86\u89e3\u50f9\u683c\u6f32\u8dcc\u539f\u7406.webp","_links":{"self":[{"href":"https:\/\/\/wp-json\/wp\/v2\/posts\/128988"}],"collection":[{"href":"https:\/\/\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/\/wp-json\/wp\/v2\/users\/9"}],"replies":[{"embeddable":true,"href":"https:\/\/\/wp-json\/wp\/v2\/comments?post=128988"}],"version-history":[{"count":0,"href":"https:\/\/\/wp-json\/wp\/v2\/posts\/128988\/revisions"}],"wp:featuredmedia":[{"embeddable":true,"href":"https:\/\/\/wp-json\/wp\/v2\/media\/128989"}],"wp:attachment":[{"href":"https:\/\/\/wp-json\/wp\/v2\/media?parent=128988"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/\/wp-json\/wp\/v2\/categories?post=128988"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/\/wp-json\/wp\/v2\/tags?post=128988"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}