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Alex · 2020年04月01日

问一道题: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。

请问我的思路对不对:

EUR-denominated assets就是说FC是EUR

DC/FC就是USD/EUR

然后对冲风险必须要主动对冲就是必须long

对冲下跌就是long put

节约成本就是用OTM

1 个答案
已采纳答案

纠纠_品职答疑助手 · 2020年04月02日

嗨,从没放弃的小努力你好:


同学你的思路是对的。


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


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