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Alex · 2020年09月16日

问一道题：NO.PZ2018111501000016

  1. CFA III
  2. Derivative

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。

long eur put = long usd call 对吧，都有权利

long eur put 不等于 short eur put 对吧，一个有权利，一个被动没有权利

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已采纳答案

xiaowan_品职助教 · 2020年09月16日

嗨，努力学习的PZer你好：


同学你好，

long eur put 不等于 short eur put是肯定的，但是你是想问long eur put是不是等于 short usd put吧，也是不相同的，USD/EUR下跌时，long eur put收益无上限，而short usd put只能获得期权费。


-------------------------------
努力的时光都是限量版，加油！


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