题目
An American investor holds a portfolio of French stocks. The market value of the portfolio is €10 million, with a beta of 1.35 relative to the CAC index. In November, the spot value of the CAC index is 4,750. The exchange rate is USD 1.25/€. The dividend yield, euro interest rates, and dollar interest rates are all equal to 4%. Which of the following option strategies would be most appropriate to protect the portfolio against a decline of the euro that week? March Euro options (all prices in US dollars per €). Strike Call euro Put euro 1.25 0.018 0.022
选项
A.Buy calls with a premium of USD 180,000
B.Buy puts with a premium of USD 220,000
C.Sell calls with a premium of USD 180,000
D.Sell puts with a premium of USD 220,000
答案
B
解析
Buying puts would protect against a decline in the euro and the premium would be USD 0.022 × €10m = USD 220,000.其实问的就是对冲组合下降的风险应该用什么衍生品，期权费多少？首先排除AD选项，因为对冲方向做反了，B选项优于C，因为B是买入一个权利，我的自主性更大一些，C是卖出看涨期权，风险比较大。期权费为0.022×1000万= 22万美元。