问题如下:
The market price of the put option is overpriced relative to the binomial option pricing mode, what the positions the manager could have to take arbitrage opportunity’s advantage?
选项:
A.short put and buy the underlying
B.long put and buy the underlying
C.short put and short sell the underlying
解释:
C is correct.
考点:No-arbitrage approach
解析:
- 现在市场中的put option价格被高估,所以应该short put。但因为无套利需要满足两个条件:1.不承担任何风险,2.自己不出钱。Short put头寸在股票价格下跌时有亏损,所以需要再加上一个当股票价格下跌时可以带来收益的头寸,即short sell the underlying.
- 也可以从复制的角度出发,因为市场中的put被高估,所以short put。因为套利是买卖相同的东西,所以需要再复制一个put option的long头寸。long put头寸可以通过short sell the underlying 和lend a portion of the proceeds来实现。
put option 被高估,执行价格X确定的情况下,X-S被高估,说明S被低估,也就是underlying被低估,那为什么不long underlying呢?这思路有什么问题?