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YI YU · 2024年10月17日

计算

  1. FRM I
  2. Financial Markets And Products

NO.PZ2023091802000066

问题如下：

An American investor holds a portfolio of French stocks. The market value of the portfolio is €10 million, with a beta of 1.35 relative to the CAC index. In November, the spot value of the CAC index is 4,750. The exchange rate is USD 1.25/€. The dividend yield, euro interest rates, and dollar interest rates are all equal to 4%. Which of the following option strategies would be most appropriate to protect the portfolio against a decline of the euro that week? March Euro options (all prices in US dollars per €)

Strike Call euro Put euro

1.25 0.018 0.022

选项：

A.

Buy calls with a premium of USD 180,000

B.

Buy puts with a premium of USD 220,000

C.

Sell calls with a premium of USD 180,000

D.

Sell puts with a premium of USD 220,000

解释：

Buying puts would protect against a decline in the euro and the premium would be:


请问一下这道题的计算怎么做呢？虽然选对的，但不太确定这个220，000是怎么算出来的。加上汇率就比较蒙

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1 个答案

李坏_品职助教 · 2024年10月17日

嗨，从没放弃的小努力你好：


题目最后说all prices in US dollars per €，意思是所有的期权价格都是1欧元 = 多少USD这种报价。


既然是为了对冲欧元下跌，自然是买入欧元的put option。这个报价是1欧元 = 0.022USD（你每持有1欧元，就需要买入0.022USD的看跌期权进行对冲）。现在我们有10million欧元的资产，那就需要10 million 欧元 * 0.022 USD这么多的put option。

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相关问题

NO.PZ2023091802000066 问题如下 Americinvestor hol a portfolio of Frenstocks. The marketvalue of the portfolio is €10 million, with a beta of 1.35 relative to the CACinx. In November, the spot value of the Cinx is 4,750. The exchange rateis US1.25/€. The vinyiel euro interest rates, anllinterestrates are all equto 4%. Whiof the following option strategies woulbemost appropriate to protethe portfolio against a cline of the euro thatweek? MarEuro options (all prices in US llars per €) Strike Call euro Put euro 1.25 0.018 0.022 A.Buy calls with a premium of US180,000 B.Buy puts with a premium of US220,000 C.Sell calls with a premium of US180,000 Sell puts with a premium of US220,000 Buying puts woulproteagainst a cline in the euro anthepremium woulbe: 请问老师这个premium为什么不是220000*美元/欧元汇率呢，答案都是US价？

2024-11-11 15:57 1 · 回答