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JanetS · 2023年09月15日

空间套利vs.时间套利

NO.PZ2016031201000018

问题如下:

An arbitrage transaction generates a net inflow of funds:

选项:

A.

throughout the holding period.

B.

at the end of the holding period.

C.

at the start of the holding period.

解释:

C is correct.

Arbitrage is a type of transaction undertaken when two assets or portfolios produce identical results but sell for different prices. A trader buys the asset or portfolio with the lower price and sells the asset or portfolio with the higher price, generating a net inflow of funds at the start of the holding period. Because the two assets or portfolios produce identical results, a long position in one and short position in the other means that at the end of the holding period, the payoffs offset. Therefore, there is no money gained or lost at the end of the holding period, so there is no risk.

中文解析:

套利是对产生同样收益但价格不同的但个资产采取低买高卖的行为。

这一行为发生在持有期期初,对投资者产生了正的持有期收益。

在投资期末,因为两个资产收益相同,可以相会抵消,所以不存在风险。

问题如下:

An arbitrage transaction generates a net inflow of funds:

选项:

A.

throughout the holding period.

B.

at the end of the holding period.

C.

at the start of the holding period.

解释:

C is correct.

Arbitrage is a type of transaction undertaken when two assets or portfolios produce identical results but sell for different prices. A trader buys the asset or portfolio with the lower price and sells the asset or portfolio with the higher price, generating a net inflow of funds at the start of the holding period. Because the two assets or portfolios produce identical results, a long position in one and short position in the other means that at the end of the holding period, the payoffs offset. Therefore, there is no money gained or lost at the end of the holding period, so there is no risk. 

中文解析:

套利是对产生同样收益但价格不同的但个资产采取低买高卖的行为。

这一行为发生在持有期期初,对投资者产生了正的持有期收益。

在投资期末,因为两个资产收益相同,可以相会抵消,所以不存在风险。



这道题讲的应该是空间套利吧,所以net inflow产生在0时刻(at the start of the holding period)

但是当时间套利的时候,按照老师上课的讲解net inflow 产生在T时刻,即at the end of the holding period。

那么请问考试时如何分辨题目中提到的Arbitrage到底是 空间套利还是时间套利呢?



1 个答案
已采纳答案

pzqa35 · 2023年09月17日

嗨,从没放弃的小努力你好:


如何判断是空间套利还是时间套利主要是根据这两个概念的定义来判断:空间套利就是同一时间点,同样的东西,在不同的市场卖不同的价格;而时间套利是指同一个东西在不同时间点的价格不同。时间套利是我们衍生品定价中比较重要的一种方式。如果一个资产它的定价不是FP=S0(1+rfT,那么就会存在套利的机会,所以时间套利是衍生品定价的基础。

老师在基础班Arbitrage章节中有详细介绍过这两个知识点,其中example1就是空间套利,example2是时间套利。此道题是一道比较早年的课后题,对于现在的参考意义有限,这个知识点主要还是要掌握时间套利和空间套利的基本定义以及如何进行套利操作。

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