NO.PZ2018111501000016
问题如下：
Raymond, a US analyst, is managing a fund with EUR-denominated assets. In order to protect the assets from downside return movement, he decides to use option contracts. However, he also wants to reduce hedging costs. Assume the fund performance is measured in USD, he will most likely choose to:
选项：
A.buy an USD/EUR ATM put option
B.write an USD/EUR OTM call option
C.buy an USD/EUR OTM put option.
解释：
C is correct.
考点：Strategies to Modify Risk and Lower Hedging Costs
解析：
为了避免外汇资产下跌，应该买put option（注意是DC/FC的外汇报价方式），所以B选项排除。由于这个分析师需要降低对冲成本，那么选择OTM put option更符合他的要求。
In order to protect the assets from downside return movement, he decides to use option contracts. However, he also wants to reduce hedging costs. Assume the fund performance is measured in USD, he will most likely choose to:
为了保护资产出现下跌风险，他决定使用期权合约。但是，他也想降低对冲费用。假设基金的表现以美元为衡量，它最有可能选择：
A.
buy an USD/EUR ATM put option
B.
write an USD/EUR OTM call option
C.
buy an USD/EUR OTM put option.
老师，我选择的B，因为：
- 我认为题目问的是为了降低对冲费用，选择什么期权，所以肯定要write一个期权，赚期权费
- 欧元为外币，欧元升值对于我的资产价值是利好，所以我可以卖一个OTM的call，去既享受到一定的汇率上涨空间，又赚到期权费
答案选择C，我理解，是针对保护资产下跌给出的答案，但是学了这么久，第一次见到buy an USD/EUR OTM put option，明明基于资产为标的物，把USD/EUR掺进来，是干嘛用的，真不明白这种表述是什么意思，请解读，谢谢。
