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