please help explain.

来源: glueck 于 2016-08-01 18:10:53 [] [旧帖] [给我悄悄话] 阅读数 : (810 bytes)
本帖于 2016-08-01 18:18:52 时间, 由普通用户 glueck 编辑

the relationship between the simple contract benchmark and the shares undelying it is compared to the relationship between the complex contract and the shares that would be used to hedge it over the range of prices of the underlying security represented by an increase in price by one standard deviation and a decrease in price by one standard deviation.

if the proportionate difference between the change in value of the complex contract and the change in value of its hedge within the standard deviation range is equal to or less than the corresponding change for the simple contract benchmark and the shares underlying it, then the complex contract tracks its hedge more closely than the simple benchmark contract tracks its hedge(i.e, the shares underlying it)

 

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• 咱累一整天了，不看这种伤脑筋的东东..... -wwonder- ♀ 给 wwonder 发送悄悄话 (0 bytes) () 08/01/2016 postreply 18:24:19

• 没办法，我这2天都在看这些东西。我容易吗我？所以才上来找KT能人啊。 -glueck- ♀ 给 glueck 发送悄悄话 (0 bytes) () 08/01/2016 postreply 18:26:13

• 去大千问。那儿专业人士多。 -julie116- ♀ 给 julie116 发送悄悄话 julie116 的博客首页 (0 bytes) () 08/01/2016 postreply 18:54:44

• After reading it over and over again, i think i almost -glueck- ♀ 给 glueck 发送悄悄话 (56 bytes) () 08/01/2016 postreply 19:07:10

• 好同学。用公式表达就容易多了 -julie116- ♀ 给 julie116 发送悄悄话 julie116 的博客首页 (0 bytes) () 08/01/2016 postreply 19:08:09

• I need to write the formular for the calculation -glueck- ♀ 给 glueck 发送悄悄话 (0 bytes) () 08/01/2016 postreply 19:12:08

• 看怎么把统计里的 dereviation 公式加以修饰？ -julie116- ♀ 给 julie116 发送悄悄话 julie116 的博客首页 (0 bytes) () 08/01/2016 postreply 21:00:42

• 我试着理解就是就是德尔塔1小于等于2的话1就比2更反应市场变化。金融工具的统计问题。 -julie116- ♀ 给 julie116 发送悄悄话 julie116 的博客首页 (0 bytes) () 08/01/2016 postreply 19:07:20

• 你这得去问证券律师或者专业国际证券税务人员。 -vest2005- ♀ 给 vest2005 发送悄悄话 vest2005 的博客首页 (882 bytes) () 08/01/2016 postreply 19:18:46

• The thing is i have to write the formular for the comparison -glueck- ♀ 给 glueck 发送悄悄话 (0 bytes) () 08/01/2016 postreply 19:24:49

• 这我帮不了忙了。全还给老师了。得找花街的金领铁匠们。 -vest2005- ♀ 给 vest2005 发送悄悄话 vest2005 的博客首页 (0 bytes) () 08/01/2016 postreply 19:30:40

• I think I can break it down and calculate it step by step. -glueck- ♀ 给 glueck 发送悄悄话 (0 bytes) () 08/01/2016 postreply 19:33:37

• 你说的对，就是为了计算DELTA来决定是否subject to US withholding tax -glueck- ♀ 给 glueck 发送悄悄话 (0 bytes) () 08/01/2016 postreply 20:55:07

• 问你一下： the underlying security 是不是那个CONTRACT 包含的各种STOCK, BOND等等。 -glueck- ♀ 给 glueck 发送悄悄话 (0 bytes) () 08/01/2016 postreply 19:36:12

• Underlying contract means the the contract that the derivatives -ppp6- ♀ 给 ppp6 发送悄悄话 (247 bytes) () 08/01/2016 postreply 20:16:20

• 大谢。晚上可以睡个好觉了。因为我要理解透这些CONCEPTS，然后才能计算DELTA FOR COMPLEX CONTRACT的 -glueck- ♀ 给 glueck 发送悄悄话 (0 bytes) () 08/01/2016 postreply 20:31:10

• No problem -ppp6- ♀ 给 ppp6 发送悄悄话 (0 bytes) () 08/01/2016 postreply 20:42:41

• 这个delta的计算是为了determine 是否要subject to withholding tax. -glueck- ♀ 给 glueck 发送悄悄话 (0 bytes) () 08/01/2016 postreply 20:46:27

• 有意思。withholding tax 不和status 关联吗？看来你又进入新领域了。不错！ -julie116- ♀ 给 julie116 发送悄悄话 julie116 的博客首页 (0 bytes) () 08/01/2016 postreply 21:04:35

• Delta hedging, the most basic but also most commonly used -ppp6- ♀ 给 ppp6 发送悄悄话 (671 bytes) () 08/01/2016 postreply 20:09:09

• 膜拜一个 -爱吃鱼鱼- ♀ 给 爱吃鱼鱼 发送悄悄话 爱吃鱼鱼 的博客首页 (0 bytes) () 08/01/2016 postreply 20:20:30

• 能人啊。我就知道这KT有天才的。 -glueck- ♀ 给 glueck 发送悄悄话 (0 bytes) () 08/01/2016 postreply 20:25:56

• 再问你一下，这个derivative contract 所包含的那些securities 是不是 -glueck- ♀ 给 glueck 发送悄悄话 (396 bytes) () 08/01/2016 postreply 20:44:07

• Underlying contract always always exists before the derivative c -ppp6- ♀ 给 ppp6 发送悄悄话 (928 bytes) () 08/01/2016 postreply 21:29:53

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