标题: [有錢收] 徵高人做大三的option assignment [打印本页] 作者: alexandra 时间: 27-4-2012 11:39 标题: [有錢收] 徵高人做大三的option assignment 找人做大三的option assignment,
內容大概是這樣
Identify an option (in any market in the world) that you believe is mispriced. Explain,
illustrate and justify clearly why you think the instrument is mispriced.
Develop an arbitrage, delta-neutral strategy that will make money from the mispriced
derivative. Specifically, detail the minimum costs of undertaking this strategy and
pursuing it. You can use as much money as you like. Given that the strategy is
theoretically risk free, you should not lose any money anyway!
Every week you are responsible for adjusting your delta-neutral portfolio. Make a
record of all transactions and profit / loss of the strategy. You are required to show
evidence of at least two adjustments (even if it was advantageous to close-out early –
you can discuss this in your report).
Write a report detailing all your transactions and the rationale behind them.
Part B
Retrospectively, it is possible to determine if your belief in the option you thought
was mispriced in Part A was correct or not. Once you have completed Part A
(requiring at least holding the position for 3 weeks – one week you form the portfolio
and 2 subsequent weekly delta re-balances) go back and using historical data
determine if the option was truly mispriced and whether you took the correct positions
to benefit from the mis-pricing. Discuss your methodology for examining if the
option was mispriced in your report and your interpretation of the results in this new
light.