C is incorrect because it represents the payoff profile of this merger arbitrage strategy, not a way to protect the strategy against loss should the acquisition fail. The payoff profile of this merger arbitrage strategy resembles that of a riskless bond combined with a short put option on AA shares and a long call option on TT shares. The short put on the AA shares reflects the need to cover the short position in AA when the share price rises. The long call on TT shares becomes valuable if and when another interested acquirer (i.e., White Knight) makes a higher bid for TT before the initial merger proposal is completed.
會做題只是想請問下面的句子是什麼意思，看不太懂，謝謝
The short put on the AA shares reflects the need to cover the short position in AA when the share price rises.
