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谈三土🌀 · 2020年11月06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。

write call 和buy put 不是正好对应吗 

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1 个答案

xiaowan_品职助教 · 2020年11月07日

嗨，努力学习的PZer你好：


同学你好，

long put付出premium，对冲了EUR的下行风险，而write call是获得premium，限制EUR的上行收益，两者效果并不相同。


-------------------------------
虽然现在很辛苦，但努力过的感觉真的很好，加油！


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