姚同學(xué)
2023-07-01 18:38怎么理解“In sum, this merge strategy is equivalent to holding a riskless bond with a face value of $40k and a short binary put option, which expires worthless if the merger succeeds but pays out $110k if the merge fails. ”要是考試沒有解釋道這一句，會(huì)失分嗎？
所屬：CFA Level III > Alternative Investments for Portfolio 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
開開助教
2023-07-02 21:02
該回答已被題主采納
同學(xué)你好，要看考試怎么問的。如果只是問你merger arbitrage的payoff，則給出計(jì)算結(jié)果即可。
我覺得這里更合理的解釋是40k更像一個(gè)保險(xiǎn)的保費(fèi)，如果并購成功，相當(dāng)于沒有出險(xiǎn)，因此不用賠付，獲得40k保費(fèi)。而如果說并購失敗，相當(dāng)于出險(xiǎn)，需要賠付110k。
書上說：Merger arbitrage is comparable to writing insurance on an acquisition. If the acquisition is completed as planned, the hedge fund earns an insurance premium. If the transaction fails, then the hedge fund stands to lose money, analogous to an insurance company making a payout.
如果答疑對你有幫助，【請采納】喲~。加油，祝你順利通過考試~
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