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zhouyu · 2020年10月31日

问一道题：NO.PZ2018062007000080

  1. CFA I
  2. Derivative

问题如下：

If a call option is priced higher than the binomial model predicts, investors can earn a return in excess of the risk- free rate by:

选项：

A.

investing at the risk- free rate, selling a call, and selling the underlying.

B.

borrowing at the risk- free rate, buying a call, and buying the underlying.

C.

borrowing at the risk- free rate, selling a call, and buying the underlying.

解释：

C is correct. If an option is trading above the value predicted by the binomial model, investors can engage in arbitrage by selling a call, buying shares of the underlying, and funding the transaction by borrowing at the risk- free rate. This will earn a return in excess of the risk- free rate.

c.borrowing at the risk- free rate, selling a call, and buying the underlying.这个怎么可以复制call？

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1 个答案

丹丹_品职答疑助手 · 2020年11月01日

嗨，努力学习的PZer你好：


同学你好，在二叉树定价模型下，就是借钱买股票就可以复制出一个call，这样我们可以通过卖出一个被高估的call，买入一个合理定价的call来获利

我们认为call=max（0.St-X/(1+r)^t] 所以认为是s是股票，可以认为是借钱用来买股票


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