NO.PZ2022123002000025
问题如下：
Evelyn Weismann, a CFA
Level I candidate, is a research analyst at Bay Area Investments, which
specializes in derivatives and currency management. Bluerock Holdings, a
US-based firm and an institutional client of Bay Area, is looking to increase
its footprint in international markets. Bluerock is in the process of
conducting due diligence to acquire Concord Associates, which is domiciled in
London. Concord Associates has overall holdings amounting to GBP 400 million.
Liam Mason, CEO of Bluerock, meets with Weismann and expresses his intention to
mitigate the GBP currency risk before closing on the acquisition of Concord. Weismann
makes the following three recommendations:
Recommendation
1: Implement an ATM call option on GBP/USD to
protect the exposure against appreciation of the base currency.
Recommendation
2: Implement a risk reversal strategy by buying an
ATM GBP/USD call option and buying an OTM GBP/USD put option.
Recommendation
3: Use a knock-in/knock-out option to receive an
all-or-none asymmetric payoff when the exchange rate touches a pre-specified
level.
Which
of Weismann’s recommendations is most likely correct?
选项：
A.Recommendation 1
Recommendation 2
Recommendation 3
解释：
Correct Answer: A
Recommendation 1
is correct.
If the base
currency, USD, is appreciated against GBP, then the Concord Associates’
holdings of GBP 400 million will buy fewer USD in the future when the
acquisition is completed.
The hedge is
implemented in protecting against an appreciation of the base currency of the
P/B quote, the USD. The hedge is established with an ATM call option (a long
position in the USD).
P/B refers to the
price of one unit of the base currency, “B,” expressed in terms of the price
currency, “P.”
Recommendation 2
is incorrect.
Risk reversal,
also referred to as a collar strategy, is created by buying stock and by
simultaneously buying puts to protect the position against downside risk and
selling calls to offset the cost.
Recommendation 3
is incorrect.
All-or-none
asymmetric payoff is characteristic of a binary option and not a
knock-in/knock-out option.
recommendation 3 有点问题吧，敲入敲出期权和二元期权都可以有收益不对称的特点，看具体怎么构建
但是那个all-or-none怎么理解，是要么获得所有profit要么一分钱也没有，就像二元函数的图一样？但是这个结构只是最简单的二元期权，还有凹式二元期权、凸式二元期权，那就不是两条水平线的图了
教材上对于all-or-none这个特点明确说了是只属于二元期权的特点吗？
