Yuzuru
2024-04-12 00:02這題另外兩個錯哪里,C里面15-delta 是怎么計算出來的?
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個回答
Simon助教
2024-04-15 13:36
該回答已被題主采納
同學(xué),上午好。
題干信息:Peixaria indicates that his research suggests that the USD/EUR currency pair will become more volatile over the near term. He recommends that BC implement an options-based strategy using USD/EUR options to profit from the expected increase in volatility.
題目預(yù)計volatility會增加,所以要long straddle或long strangle。
long ITM call和ITM put就是long straddle,即B選項。
而A選項 long 25-delta put和call 就是long strangle(delta絕對值小于50即為OTM option)
C選項 short 15delta put和15 delta call是short strangle,排除。此處delta 15不是計算出來的,是題目給的條件,表示是OTM option
