Lily
2023-08-26 21:30,請(qǐng)問(wèn)risk reversal strategy是怎樣構(gòu)成的?沖刺題二的上午題第八題,老師講解risk reversal strategy類(lèi)似collar,是long underlying asset + buy OTM put + short OTM call,但是刷題通關(guān)里面有一個(gè)題目的答案,解釋是“A risk reversal strategy is implemented by buying an out-of-the-money (OTM) call and selling an out-of-the-money (OTM) put.”哪個(gè)才是正確的?
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
Simon助教
2023-08-27 12:20
該回答已被題主采納
同學(xué),上午好。risk reversal不是collar策略,risk reversal 就是long OTM call+ short OTM put。
而long stock+ short risk reversal=collar
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追問(wèn)
請(qǐng)問(wèn)老師,是否有l(wèi)ong risk reversal和short risk reversal的區(qū)別?以及分別有什么作用?
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追答
區(qū)別是二者頭寸完全相反。
long risk reversal=long OTM call + short OTM out。
short risk reversal = short OTM call + long OTM put。
二者的作用要依據(jù)題目給的具體條件來(lái)判斷的。
