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mino酱是个小破货 · 2025年05月13日

烦请问下老师这么回答可以吗?谢谢老师

NO.PZ2022123002000024

问题如下:

Gehlot then turns his attention to Dong’s Swiss Franc (CHF) exposures, which have depreciated approximately 5% against the USD. CHF/USD = 1.01 on February 1, 2020. Gehlot requests that Chlapowski recommend ways to hedge the CHF exposure at a minimal hedging cost. Chlapowski explains the usage of option contracts in Dong’s portfolio and presents the details in Exhibit 2.

Exhibit 2 Option Prices for USD/CHF on February 1, 2020

Calculate the cost of implementing a put spread using USD/CHF strike prices 0.98 and 0.95 shown in Exhibit 2.

选项:

解释:

Correct Answer:

A put spread is buying an OTM put and writing a deeper OTM put to reduce the cost of the long put. Both options will have the same expiration date.

USD/CHF on February 1, 2020 is (1/1.01) = 0.99.

To implement a put spread, buy an OTM put at the 0.98 strike by paying $0.15 and write the deeper OTM put at strike 0.95, receiving $0.07.

Net cost is $0.15 – $0.07 = $0.08.

Based his forecast, Geholt should implement a bear put by buying a OTM put and selling a deeper OTM put at the same expiration date. To get this put spread position,he should pay $0.08.

1 个答案

李坏_品职助教 · 2025年05月13日

嗨,努力学习的PZer你好:


完全OK的。

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虽然现在很辛苦,但努力过的感觉真的很好,加油!

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