NO.PZ202301280200000802
问题如下：
Determine the overall cost and
breakeven strike price of the lowest cost strangle strategy.
选项：
解释：
Correct
Answer:
Implementing a
lowest cost deep out of the money strangle strategy will require buying a deep
out of the money put option at a strike price of CYF/USD 45 and a deep out of
the money call option at a strike price of CYF/USD 65.
Overall cost of
the strategy is $0.17 + $0.21 = $0.38 Breakeven price will be both on the
downside and upside.
Upside breakeven
price when CYF/USD will be at a strike of $65 + $0.38 = $65.38
Downside breakeven
price when CYF/USD will be at a strike of $45 – $0.38 = $44.62.
recommends buying a deep out of the money CYF/USD strangle to protect the downside in case the ruble depreciates further.
这里怎么还出现卢布了？
一般不是要写成DC/FC形式吗？这里写成CYF/USD对吗？还是说就是要hedge USD贬值风险？怎么考虑
