标题: level 3 concentrated position 的问题 [打印本页] 作者: janicehmj 时间: 2014-2-2 19:06 标题: level 3 concentrated position 的问题
请问老师：用derivative based collar 去hedge employee stock option ，这个derivative based collar是什？怎么hedge？ 作者: vchow3 时间: 2014-2-6 03:42
如你拥有 Employee Stock Options，那就函意你有一個没有流通性的股票 (un-exercised call options). 英文是 You implicitly have a long position of illiquid equity (+S). To hedge this position risk, "Monetization" is an approach. That is, you need to create a short position of the equity (-S). Nevertheless, you are unable to sell the position in that you have an illiquid position. To resolve this problem, we may consider the concept of PUT-CALL Parity:
S +P = C + B; equivalently, -S = [-C +P] +[–B] = [Collar] + [Loan] = a synthetic short position of the stocks, where B is a risk-free bond, C is a call option and P is a put option, respectively. Therefore, to hedge your long position, you could get a loan (borrowing) and create a zero-premium Collar (by BUYING a publicly traded PUT OPTION from shorting a publicly traded call CALL OPTION)作者: janicehmj 时间: 2014-2-10 20:56
