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.
这道题题目中说了there is limited upside for the SEK/CHF cross rate ？ 为什么不能理解为CHF会升值？