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格蕾絲 · 2020年10月28日

问一道题：NO.PZ2018111501000016 [ CFA III ]

  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。

是不是关键词“EUR-dominated asset”可以知道EUR是外币？

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1 个答案

xiaowan_品职助教 · 2020年10月29日

嗨，爱思考的PZer你好：


同学你好，

是这样的哈。不讨论本币外币的话，这道题也可以这样想，EUR资产是标的资产，所以应该long EUR作为base currency的标价形式的put。


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