NO.PZ2018062007000080
问题如下:
If a call option is priced higher than the binomial model predicts, investors can earn a return in excess of the risk- free rate by:
选项:
A.
investing at the risk- free rate, selling a call, and selling the underlying.
B.
borrowing at the risk- free rate, buying a call, and buying the underlying.
C.
borrowing at the risk- free rate, selling a call, and buying the underlying.
解释:
C is correct. If an option is trading above the value predicted by the binomial model, investors can engage in arbitrage by selling a call, buying shares of the underlying, and funding the transaction by borrowing at the risk- free rate. This will earn a return in excess of the risk- free rate.
中文解析:
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。低买高卖进行套利。
而选项中borrowing at the risk-free rate and buying the underlying,也就是借钱买股票就可以复制出一个call,这样我们可以通过卖出一个被高估的call,买入一个合理定价的call来获利。
老师,能不能说一下,这道题的知识点是在哪里呀,树上有关binomial model的课件没找到这一块。谢谢