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玛卡巴卡 · 2021年09月23日

题目

  1. CFA III
  2. Alternative

NO.PZ2019122802000015

问题如下：

Yankel Stein is the chief investment officer of a large charitable foundation based in the United States. Although the foundation has significant exposure to alternative investments and hedge funds, Stein proposes to increase the foundation’s exposure to relative value hedge fund strategies. As part of Stein’s due diligence on a hedge fund engaging in convertible bond arbitrage, Stein asks his investment analyst to summarize different risks associated with the strategy.

Describe how Time decay of call option can create concerns for Stein’s proposed hedge fund strategy.

选项：

解释：

The convertible bond arbitrage strategy can lose money due to time decay of the convertible bond’s embedded call option during periods of reduced realized equity volatility and/or due to a general compression of market implied volatility levels.

由于可转换债券的嵌入式看涨期权在已实现股票波动率降低期间的时间衰减和/或由于市场隐含波动率水平的普遍压缩，可转换债券套利策略可能会亏损。

大概的意思是说可转债中内嵌的call随着时间的流逝，call的价值会逐渐降低，所以如果市场波动一直是不温不火甚至是波动下降的话，等到call到期，这个策略就失败了。

请问这个策略是long CB short stock么？还是long CB short call？需要option行权才能赚钱么？

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2 个答案

笛子_品职助教 · 2021年09月28日

嗨，努力学习的PZer你好：


是的。如果不行权，可转债就和普通债券一样，只能赚利息。

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

笛子_品职助教 · 2021年09月26日

嗨，爱思考的PZer你好：


long 可转债，short股票。


call是隐含在可转债里的。

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

玛卡巴卡 · 2021年09月28日

需要隐含的option行权才能赚钱么？

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