开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)｜3.2.5(安卓)APP下载

返回

格蕾絲 · 2020年10月28日

问一道题：NO.PZ2018111501000016 [ CFA III ]

  1. CFA III
  2. Derivative

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。

是不是关键词“EUR-dominated asset”可以知道EUR是外币？

添加评论
1 个答案

xiaowan_品职助教 · 2020年10月29日

嗨，爱思考的PZer你好：


同学你好，

是这样的哈。不讨论本币外币的话，这道题也可以这样想，EUR资产是标的资产，所以应该long EUR作为base currency的标价形式的put。


-------------------------------
就算太阳没有迎着我们而来，我们正在朝着它而去，加油！


  • 1

    回答

  • 1

    关注

  • 423

    浏览
相关问题

NO.PZ2018111501000016 问题如下 Raymon a US analyst, is managing a funwith EUR-nominateassets. In orr to protethe assets from wnsi return movement, he cis to use option contracts. However, he also wants to reheing costs. Assume the fund performanis measurein US he will most likely choose to: buy USEUR ATM put option write USEUR OTM call option buy USEUR OTM put option. C is correct. 考点Strategies to Mofy Risk anLower Heing Costs 解析为了避免外汇资产下跌，应该买put option（注意是/FC的外汇报价方式），所以B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 orr to protethe assets from wnsi return movement, he cis to use option contracts. However, he also wants to reheing costs. Assume the funperformanis measurein US 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 USEUR ATM put optionB.write USEUR OTM call optionC.buy USEUR 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 USEUR OTM put option，明明基于资产为标的物，把USEUR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。

2024-01-30 22:26 2 · 回答

NO.PZ2018111501000016 问题如下 Raymon a US analyst, is managing a funwith EUR-nominateassets. In orr to protethe assets from wnsi return movement, he cis to use option contracts. However, he also wants to reheing costs. Assume the fund performanis measurein US he will most likely choose to: buy USEUR ATM put option write USEUR OTM call option buy USEUR OTM put option. C is correct. 考点Strategies to Mofy Risk anLower Heing Costs 解析为了避免外汇资产下跌，应该买put option（注意是/FC的外汇报价方式），所以B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。 b在EUR下跌时可以坐收期权费, 这难道不算是对冲风险吗? 还是说这只能算增加收益?

2023-03-08 10:59 2 · 回答

NO.PZ2018111501000016 问题如下 Raymon a US analyst, is managing a funwith EUR-nominateassets. In orr to protethe assets from wnsi return movement, he cis to use option contracts. However, he also wants to reheing costs. Assume the fund performanis measurein US he will most likely choose to: buy USEUR ATM put option write USEUR OTM call option buy USEUR OTM put option. C is correct. 考点Strategies to Mofy Risk anLower Heing Costs 解析为了避免外汇资产下跌，应该买put option（注意是/FC的外汇报价方式），所以B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。 老师请问，这一题是不是最好进入long option而非short option，long=拥有...权利，而short=拥有...义务，对吗？能进一步解析就更好了

2023-02-04 12:56 1 · 回答

NO.PZ2018111501000016问题如下 Raymon a US analyst, is managing a funwith EUR-nominateassets. In orr to protethe assets from wnsi return movement, he cis to use option contracts. However, he also wants to reheing costs. Assume the fund performanis measurein US he will most likely choose to: buy USEUR ATM put option write USEUR OTM call option buy USEUR OTM put option. C is correct. 考点Strategies to Mofy Risk anLower Heing Costs 解析为了避免外汇资产下跌，应该买put option（注意是/FC的外汇报价方式），所以B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。 是宁愿低成本吗 所以可以放弃中间那段的保护吗

2023-01-26 09:43 1 · 回答

NO.PZ2018111501000016 问题如下 Raymon a US analyst, is managing a funwith EUR-nominateassets. In orr to protethe assets from wnsi return movement, he cis to use option contracts. However, he also wants to reheing costs. Assume the fund performanis measurein US he will most likely choose to: buy USEUR ATM put option write USEUR OTM call option buy USEUR OTM put option. C is correct. 考点Strategies to Mofy Risk anLower Heing Costs 解析为了避免外汇资产下跌，应该买put option（注意是/FC的外汇报价方式），所以B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。 为啥不选择B？EUR是外币，报价形式是USEUR，担心EUR贬值，同时还希望降低cost，可以通过collarlong OTM put + short OTM callB答案就是short call

2022-05-25 20:44 1 · 回答