Anne · 2024年01月31日

knock-in/knock-out option和binary option的区别

NO.PZ2022123002000025

问题如下：

Evelyn Weismann, a CFA Level I candidate, is a research analyst at Bay Area Investments, which specializes in derivatives and currency management. Bluerock Holdings, a US-based firm and an institutional client of Bay Area, is looking to increase its footprint in international markets. Bluerock is in the process of conducting due diligence to acquire Concord Associates, which is domiciled in London. Concord Associates has overall holdings amounting to GBP 400 million. Liam Mason, CEO of Bluerock, meets with Weismann and expresses his intention to mitigate the GBP currency risk before closing on the acquisition of Concord. Weismann makes the following three recommendations:

Recommendation 1: Implement an ATM call option on GBP/USD to protect the exposure against appreciation of the base currency.

Recommendation 2: Implement a risk reversal strategy by buying an ATM GBP/USD call option and buying an OTM GBP/USD put option.

Recommendation 3: Use a knock-in/knock-out option to receive an all-or-none asymmetric payoff when the exchange rate touches a pre-specified level.

Which of Weismann’s recommendations is most likely correct?

选项：

Recommendation 1

Recommendation 2

Recommendation 3

解释：

Correct Answer: A

Recommendation 1 is correct.

If the base currency, USD, is appreciated against GBP, then the Concord Associates’ holdings of GBP 400 million will buy fewer USD in the future when the acquisition is completed.

The hedge is implemented in protecting against an appreciation of the base currency of the P/B quote, the USD. The hedge is established with an ATM call option (a long position in the USD).

P/B refers to the price of one unit of the base currency, “B,” expressed in terms of the price currency, “P.”

Recommendation 2 is incorrect.

Risk reversal, also referred to as a collar strategy, is created by buying stock and by simultaneously buying puts to protect the position against downside risk and selling calls to offset the cost.

Recommendation 3 is incorrect.

All-or-none asymmetric payoff is characteristic of a binary option and not a knock-in/knock-out option.

knock-in/knock-out option和binary option的区别

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pzqa31 · 2024年02月01日

嗨，爱思考的PZer你好：

（1）Knock in 分为向上或者向下敲入。比如一个down in put option（向下敲入的knock in put option），敲入价是110，行权价是100，当前股价是120.

则当股价从120下跌的过程中，在没有下跌达到110的时候，这个put是没有生效的；当股价继续下跌达到110及110以下的时候，这个put才生效，比如现在下跌到了105，put是生效的，但是并没有行权，是OTM 的put；只有股价继续下跌达到100及100以下的时候，这个put才变为ITM的put，才可以行权。

（2）同样knock out 也分为向上和向下敲出。

比如一个up out call（向上敲出的call option），敲出价是120，行权价是100.当前股价是80.所以现在call是生效的，且是OTM 的call，当股价从80开始上涨，涨到100但小于120的时候，这个call是ITM的call。但是若股价继续上涨，涨到了130（大于敲出价120了），则这个call 被敲出了，即失效了。

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pzqa31 · 2024年02月01日

嗨，从没放弃的小努力你好：

二元期权只考虑标的的价格走向（看涨或者看跌），而股票、外汇等传统金融工具，投资者需要同时考虑价格走向（看涨或者看跌）以及涨跌的幅度，因此二元期权属于简化的金融工具。二元期权的收益和风险是预先固定的，收益与否只由标的资产的价格是否满足预定条件决定。简单来说，投资者可以在选择平台上的股票、指数、外汇、商品期货进行期权投资，只需要判断涨跌方向就可以交易，不需要考虑涨跌的幅度。二元期权的收益与亏损往往是不对称的，例如，对CBOE交易的二元期权来说，当投资者判断准确时，可以获得100美元的收益，而当投资者判断错误时，收益为0，将损失全部本金。

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knock-in/knock-out option和binary option的区别

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