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Yuyu · 2023年02月11日

方向问题

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NO.PZ201601050100000402

问题如下:

2. Given her investment goals and market view, and assuming all options are based on SEK/CHF, the best strategy for Björk to manage the fund‘s CHF exposure would be to buy an:

选项:

A.

ATM call option.

B.

ITM call option and write an OTM call option.

C.

OTM put option and write an OTM call option.

解释:

C is correct.

The fund holds CHF-denominated assets and hence Björk wants to protect against a depreciation of the CHF against the SEK, which would be a down-move in the SEK/CHF cross rate. An OTM put option provides some downside protection against such a move, while writing an OTM call option helps reduce the cost of this option structure. Note that Björk does not expect that the SEK/CHF rate will appreciate, so this option (in her view) will likely expire OTM and allow her to keep the premia. This hedging structure is known as a short risk reversal (or a collar) and is a popular hedging strategy.

A is incorrect because the ATM call option will not protect against a depreciation in the SEK/CHF rate. An ATM option is also expensive (compared to an OTM option). Note that Björk does not expect the SEK/CHF rate to appreciate, so would not want a long call option position for this rate.

B is incorrect because this structure is expensive (via the long ITM call option) and does not protect against depreciation in the SEK/CHF rate.

中文解析:

持有外币CHF的资产,担心CHF贬值,因此他需要long put来提供保护,另外它又想降低成本,因此short call。

如果CHF升值,并且超过了我们卖掉的call option的执行价格时,对手方会行权,我们会失去超过行权价以上的收益,但是题干说了他相信即便上涨也是limited的,因此不会出现大幅上涨造成很大损失的情况。所以我们选择short 了一个OTM的call。

另外买一个OTM的put虽然保护的力度不如买一个ATM的put,但是OTM的put必然会便宜一些,这也会降低成本。

A,B选项明显错误。

老师,确认一个点,就是汇率A/B形式下,所有变动描述是不是都是针对B来说的?比如本题中说,SEK/CHF有一个limited upside potential, 其实就是指CHF升值也是有限的?

1 个答案
已采纳答案

Hertz_品职助教 · 2023年02月13日

嗨,努力学习的PZer你好:


同学你好

是滴。同学理解正确。

确切的说在外汇管理这一章汇总,所有的计算和分析都是基于DC/FC这个汇率表达形式下的,即研究对象都是位于分母位置的FC。

因此在我们不论是分析还是计算的时候如果不是这个汇率表达形式,也一定要先转成DC/FC的形式,然后再进行后面的求解,一定记得研究对象是分母位置的外币FC。

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

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