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shiyu0802 · 2023年01月13日

这题答案中关于volatility的解释不理解

  1. CFA III
  2. Alternative

NO.PZ2019122802000015

问题如下：

Yankel Stein is the chief investment officer of a large charitable foundation based in the United States. Although the foundation has significant exposure to alternative investments and hedge funds, Stein proposes to increase the foundation’s exposure to relative value hedge fund strategies. As part of Stein’s due diligence on a hedge fund engaging in convertible bond arbitrage, Stein asks his investment analyst to summarize different risks associated with the strategy.

Describe how Time decay of call option can create concerns for Stein’s proposed hedge fund strategy.

解释：

The convertible bond arbitrage strategy can lose money due to time decay of the convertible bond’s embedded call option during periods of reduced realized equity volatility and/or due to a general compression of market implied volatility levels.

由于可转换债券的嵌入式看涨期权在已实现股票波动率降低期间的时间衰减和/或由于市场隐含波动率水平的普遍压缩，可转换债券套利策略可能会亏损。

大概的意思是说可转债中内嵌的call随着时间的流逝，call的价值会逐渐降低，所以如果市场波动一直是不温不火甚至是波动下降的话，等到call到期，这个策略就失败了。

1.可转债策略不就是在moderate volatility下才合适吗？为什么说市场不温不火就会亏钱呢

2.可转债策略一般不是不行权的吗，为什么说到期会亏？

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1 个答案

伯恩_品职助教 · 2023年01月13日

嗨，从没放弃的小努力你好：


1.可转债策略不就是在moderate volatility下才合适吗？为什么说市场不温不火就会亏钱呢——是的，那是买入时期。如果不是超级剧烈的波动，正常的波动和option是正比关系。

2.可转债策略一般不是不行权的吗，为什么说到期会亏？——那也得在期权到期前平仓啊。不然就不值钱了

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