NO.PZ2021061002000042
问题如下：
Based on the binomial model,
a call option is overvalued, how should investors carry out the arbitrage?
选项：
A.borrowing money at risk-free
rate, buying the underlying stock，and writing a call
option
lending money at risk-free rate,
buying the underlying stock，and writing a call option
borrowing money at risk-free
rate, selling the underlying stock，and writing a call
option
解释：
A is correct
在二叉树定价模型下，现在认为call被高估了，那么就要short call，同时long一份复制的call来进行套利操作。
而选项中borrowing at the risk-free
rate and buying the underlying，即借钱买股票，这可以复制出一个long call的头寸，然后再卖出一个被高估的call，从而低买高卖赚取价差，只有A选项符合。
请问是不是在put-call parity里面，是用C+K=P+S去合成或者套利；
本题二叉树的话就不能用上面那个公式，而是应该用long stock+short call=long risk-free bond这个公式来合成或者套利了？
