long call=long stock+short bond
推出short call=short stock+long bond
答案B buy shares不对吧?
WallE_品职答疑助手 · 2021年08月04日
嗨,努力学习的PZer你好:
同学您可以仔细的看一下答案的这句话
You should sell (write) the overpriced call option and then go long (buy) the replicating portfolio for a call option. The replicating portfolio for a call option is to buy h shares of the stock and borrow the present value of (hS – – c – ).
既然是套利,说明这个call options 高估了,你要卖掉高估的call options, 同时合成一个买 options的头寸来套利。
注意这里是要合成一个long call,所以是buy shares
----------------------------------------------就算太阳没有迎着我们而来,我们正在朝着它而去,加油!