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eaglexps · 2022年09月12日

你好

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

1 个答案

Lucky_品职助教 · 2022年09月13日

嗨,从没放弃的小努力你好:


这是原版书reading 46课后第41题,讲解视频地址见下图

----------------------------------------------
努力的时光都是限量版,加油!

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NO.PZ2018062007000080 问题如下 If a call option is pricehigher ththe binomimol prects, investors cearn a return in excess of the risk- free rate by: A.investing the risk- free rate, selling a call, anselling the unrlying. borrowing the risk- free rate, buying a call, anbuying the unrlying. C.borrowing the risk- free rate, selling a call, anbuying the unrlying. C is correct. If option is trang above the value prectethe binomimol, investors cengage in arbitrage selling a call, buying shares of the unrlying, anfunng the transaction borrowing 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。而中borrowing the risk-free rate anbuying the unrlying,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。 完全不懂这道题在讲什么解析全部看了一遍也没看懂,基本讲义视频哪里有讲到啊

2022-09-11 10:06 1 · 回答

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2022-05-28 22:22 1 · 回答

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2021-06-02 16:28 2 · 回答