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信鸽子 · 2023年08月01日

如题

NO.PZ2018062007000018

问题如下:

Arbitrage exists when:

选项:

A.

Net positive profit is generated at expiration.

B.

Net positive profit and net negative loss are generated through the transaction term.

C.

Net positive profit is generated at initiation.

解释:

C is correct.

An arbitrageur buys one asset in the cheaper market and simultaneously sells the same asset at a more expensive market, the risk-free arbitrage profit is generated at the beginning of transaction period.

中文解析:

我们在进行套利交易时的过程是,在期初发现价差,预期在期末做多和做空的资产价格趋同,所以套利获得的收益在期初就确定了,也就是C选项所描述的情况。

请问A是什么意思,是说套的利润是在期间产生的吗


1 个答案

Lucky_品职助教 · 2023年08月02日

嗨,努力学习的PZer你好:


A说的是期末

----------------------------------------------
虽然现在很辛苦,但努力过的感觉真的很好,加油!

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