zhxshyl
2025-12-27 20:51第二題,CHF預(yù)估上漲,那不是應(yīng)該買低價(jià)格的看漲期權(quán),賣出高執(zhí)行價(jià)格的看漲期權(quán)嗎
所屬:CFA Level III > Derivatives and Currency Management 視頻位置 相關(guān)試題
來源: 視頻位置 相關(guān)試題
1個(gè)回答
Simon助教
2026-01-02 14:56
該回答已被題主采納
題目定位是這段內(nèi)容:In order to maintain some profit potential Bjork wants to hedge the exposure using a currency option, but at the same time, she wants to reduce hedging costs.
對(duì)沖下跌風(fēng)險(xiǎn),所以long OTM put,同時(shí)降低對(duì)沖成本,再賣一個(gè)OTM option
