NO.PZ2021061002000042
问题如下:
Based on the binomial model,
a call option is overvalued, how should investors carry out the arbitrage?
选项:
A.borrowing money at risk-free
rate, buying the underlying stock,and writing a call
option
lending money at risk-free rate,
buying the underlying stock,and writing a call option
borrowing money at risk-free
rate, selling the underlying stock,and writing a call
option
解释:
A is correct
在二叉树定价模型下,现在认为call被高估了,那么就要short call,同时long一份复制的call来进行套利操作。
而选项中borrowing at the risk-free
rate and buying the underlying,即借钱买股票,这可以复制出一个long call的头寸,然后再卖出一个被高估的call,从而低买高卖赚取价差,只有A选项符合。
我明白咱们要弄一个long call出来,这样可以进行套利。
根据C+K = P+S这个平价公式,C= P+S-K。
解析说借钱买股票:
- 解析怎么没有提到P?
- 解析说借钱,但根据C= P+S-K,我要short K (卖一个债券)就相当于是发债借钱,对吗?
谢谢老师。