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mosquito三颗猫 · 2022年07月17日

单纯想问问选项中的1.72是什么由头？

  1. CFA III
  2. Derivative

NO.PZ2018111501000019

问题如下：

One of the non-EUR currency exposures in the Portfolio is GBP. Aron frequently adjusts his GBP positions based on his short-term tactical outlook. Aron forecasts that the GBP will appreciate by 5% against the USD over the next six months. The current USD/GBP rate is 1.60 (1 GBP = 1.60 USD). Aron is considering the six-month European option positions with the primary objective of increasing his GBP exposure in line with his forecast, and a secondary objective of minimizing the initial cash outlay. Which of the trades below will most likely satisfy Aron’s objectives at expiration?

选项：

A.

Trade 1: Buy call with 1.68 strike, sell call with 1.72 strike.

B.

Trade 2: Buy call with 1.60 strike, sell call with 1.68 strike.

C.

Trade 3: Buy call with 1.60 strike, sell call with 1.72 strike.

解释：

B is correct.

考点：Strategies to Modify Risk and Lower Hedging Costs

解析：预测GBP会增值，所以Buy call with 1.60 strike，未来的增值会使Aron在1.6的现价基础上获益。由于增值幅度为5%， 1.6*（1+5%）=1.68,所以sell call with 1.68 strike可以降低成本。

单纯想问问选项中的1.72是什么由头？

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2 个答案

Hertz_品职助教 · 2022年07月18日

嗨，努力学习的PZer你好：


同学你好

1.72的执行价格其实没有什么特殊的含义或者某种计算得来的，正如同学在后面提到的，仅仅是一个比1.68高的执行价格而已哈

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害羞的国宝🎄 · 2022年07月18日

就是假设了一个相对高的执行价格吧？

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