Efficient Selection of Insured Currency Positions: Protective Puts vs. Fiduciary Calls
通过实证比较了使用货币现货和期货期权的投资组合保险策略，发现基于期货期权的保护性看跌期权通常劣于基于现货期权的保护性看跌期权和期货信托看涨期权，表明外汇期货看跌期权定价偏高。
We examine the empirical results from implementation of portfolio insurance strategies employing currency spot and futures options. Hypotheses are generated from Ogden and Tucker's (1988) generalizations concerning the relative values of American spot currency options and currency futures options. We find that protective puts using futures options are generally dominated by both protective puts that use options on spot currencies and by fiduciary calls on futures contracts. This suggests that the prices of puts on foreign currency futures contracts are too high, relative to foreign currency futures calls and to puts on spot currencies.