NO.PZ2016082402000028
问题如下:
The current price of stock ABC is $42 and the call option with a strike at $44 is trading at $3. Expiration is in one year. The corresponding put is priced at $2. Which of the following trading strategies will result in arbitrage profits? Assume that the risk-free rate is 10% and that the risk-free bond can be shorted costlessly. There are no transaction costs.
选项: Long
position in both the call option and the stock, and short position in the put
option and risk-free bond
Long position in both the call option and the put option, and short position in the stock and risk-free bond
C.Long position in both the call option and the risk-free bond, and short position in the stock and the put option
D.Long position in both the put option and the risk-free bond, and short position in the stock and the call option
解释:
ANSWER: C
Answers A and B have payoffs that depend on the stock price and therefore cannot create arbitrage profits. Put-call parity says that should equals . The call option is cheap. Therefore buy the call and hedge it by selling the stock, for the upside. The benefit from selling the stock if S goes down is offset by selling a put.
时间为一年,为什么是Ke^−rT 而不是Ke^tT 呢