TonyJIAO
2022-06-18 15:35這句話是short seagull的特征，如果是long seagull的話該怎么表述呢？
所屬：CFA Level III > Derivatives and Currency Management 視頻位置 相關(guān)試題
來(lái)源： 視頻位置 相關(guān)試題
1個(gè)回答
Chris Lan助教
2022-06-20 10:55
該回答已被題主采納
同學(xué)您好
long seagull的圖形就是long 兩端otm的期權(quán)，short中間ATM的期權(quán)。
其圖形如附件。
您可以看一下關(guān)于原版書(shū)中P191頁(yè) example 6中最后一段，這一段題干就是在表述這個(gè)策略的特征。
Khan argues that these three options can be combined into a hedge structure that will have some limited downside risk, but provide complete hedge protection starting at the relevant 25-delta strike level. The structure will also have unlimited upside potential, although this will not start until the ZAR/GBP exchange rate moves to the relevant 25-delta strike level. Finally, this structure can be created at a relatively low cost because it involves option writing.
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