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AL · 2021年11月08日

CB

  1. CFA III
  2. Alternative

NO.PZ2019122802000015

问题如下：

Yankel Stein is the chief investment officer of a large charitable foundation based in the United States. Although the foundation has significant exposure to alternative investments and hedge funds, Stein proposes to increase the foundation’s exposure to relative value hedge fund strategies. As part of Stein’s due diligence on a hedge fund engaging in convertible bond arbitrage, Stein asks his investment analyst to summarize different risks associated with the strategy.

Describe how Time decay of call option can create concerns for Stein’s proposed hedge fund strategy.

解释：

The convertible bond arbitrage strategy can lose money due to time decay of the convertible bond’s embedded call option during periods of reduced realized equity volatility and/or due to a general compression of market implied volatility levels.

由于可转换债券的嵌入式看涨期权在已实现股票波动率降低期间的时间衰减和/或由于市场隐含波动率水平的普遍压缩，可转换债券套利策略可能会亏损。

大概的意思是说可转债中内嵌的call随着时间的流逝，call的价值会逐渐降低，所以如果市场波动一直是不温不火甚至是波动下降的话，等到call到期，这个策略就失败了。

這題目的話 是 cb 中的call option 因為時間decay Vega decrease 而option 價值下降了 導致 整個cb value 下降嗎  假設同漲同跌 (bond 和equity)抵銷了 而option value 又下降 所以就損失？ 
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1 个答案

伯恩_品职助教 · 2021年11月08日

嗨，爱思考的PZer你好：


大概的意思是说可转债中内嵌的call随着时间的流逝，call的价值会逐渐降低，所以如果市场波动一直是不温不火甚至是波动下降的话，等到call到期，这个策略就失败了。——是的。

這題目的話 是 cb 中的call option 因為時間decay Vega decrease 而option 價值下降了 導致 整個cb value 下降嗎 ——是的

假設同漲同跌 (bond 和equity)抵銷了 而option value 又下降 所以就損失？ ——主要还是时间到期了，就没价值了

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