小編導(dǎo)讀：為幫助廣大考生迎戰(zhàn)2015年FRM考試，高頓網(wǎng)校為考生們推出了考試名師免費(fèi)直播答疑與講義免費(fèi)下載！進(jìn)入直播>>
　　9.      Trader A purchases a down-and-out call with a strike price of USD 100 and a barrier at USD 96 from Trader B. Both traders need to unwind their delta hedge at the barrier. Which trader is more at risk if there is a price gap (discontinuity) that prevents them from exiting the trade at the barrier?
　　A.     Trader A has the bigger risk.
　　B.     Trader B has the bigger risk.
　　C.     They both have the same risk.
　　D.     Neither trader has any risk because both are hedged.
　　答疑：這道題說的是動(dòng)態(tài)對(duì)沖的問題，對(duì)于一個(gè)call來說買方的對(duì)沖是賣出標(biāo)的資產(chǎn)，對(duì)于賣方來說是買入標(biāo)的資產(chǎn)，那么對(duì)于一個(gè)障礙期權(quán)來說，如果達(dá)到障礙水平，那么就需要清算對(duì)沖頭寸，對(duì)于買方來說就要在低價(jià)的時(shí)候買入標(biāo)的資產(chǎn)，而對(duì)于賣方來說就要在低價(jià)的時(shí)候賣出標(biāo)的資產(chǎn)，所以賣方的損失更大。