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凉茶325 · 2023年01月26日

OTM不是有一个部分没有得到保护吗

  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。

是宁愿低成本吗 所以可以放弃中间那段的保护吗

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1 个答案

Hertz_品职助教 · 2023年01月27日

嗨，努力学习的PZer你好：


同学你好

是的，同学理解正确。

如果不在乎成本，想要获得更全的保护的话，就应该买ATM的put了。但是考虑到成本，只能降低受保护的程度了。

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

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