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moon · 2022年05月25日

为啥不选择B？

  1. CFA III
  2. Derivative

NO.PZ2018111501000016

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。

为啥不选择B？


EUR是外币，报价形式是USD/EUR，

担心EUR贬值，同时还希望降低cost，可以通过collar：long OTM put + short OTM call


B答案就是short call


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1 个答案

Hertz_品职助教 · 2022年05月27日

嗨，努力学习的PZer你好：


同学你好

我们需要抓住问题的核心，这个美国投资者，最担心的是EUR资产的贬值，所以首先他需要long put on USD/EUR，只有发生了这个动作，也就是因为long put花掉了期权费，才有降低成本的需要，才需要采取B选项中的策略降低期权费。

选择题都是单选，只能选择一个，也就是题目说的he most likely choose to，所以选C。

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努力的时光都是限量版，加油！

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