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aileen20180623 · 2022年02月01日

不好意思，这个点我不知道哪个知识点应用，而且还不太懂

  1. CFA II
  2. Derivative

* 问题详情，请 查看题干

NO.PZ201702190300000304

问题如下：

For the Alpha Company option, the positions to take advantage of the arbitrage opportunity are to write the call and:

选项：

A.

short shares of Alpha stock and lend.

B.

buy shares of Alpha stock and borrow.

C.

short shares of Alpha stock and borrow.

解释：

B is correct.

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-).

c = hS + PV(-hS- + c-).

h = (c+ - c-)/(S+ - S-) = (6 - 0)/(56 - 46) = 0.60.

For the example in this case, the value of the call option is 3.714. If the option is overpriced at, say, 4.50, you short the option and have a cash flow at Time 0 of +4.50. You buy the replicating portfolio of 0.60 shares at 50 per share (giving you a cash flow of -30) and borrow (1/1.05) x [(0.60 x 46) - 0] = (1/1.05) x 27.6 = 26.287. Your cash flow for buying the replicating portfolio is -30 + 26.287 = -3.713. Your net cash flow at Time 0 is + 4.50 - 3.713 = 0.787. Your net cash flow at Time 1 for either the up move or down move is zero. You have made an arbitrage profit of 0.787.

In tabular form, the cash flows are as follows:

中文解析：

根据题干信息可知，当前的市场上关于Alpha公司的看涨期权是被高估的，因此套利操作下我们可以卖出被高估的买进被低估的，因此正如本题问题中表述的已经卖出了看涨期权，然后需要的操作是买入一个合成的看涨期权。

看涨期权的合成相当于借钱买股票，因此本题选B。

1.这个题目没说是BSMmodel ，看提问有的解释成了BSMmodel。

1.1课件142页写的 call option =long stock+short bond可以解释这道题？那这里的short 对应答案B里面的borrow bond？为什么？

1.2不理解如果有put option这题的答案还有什么选项？



2.课件101页写的call=undelying and financing这里指代的是long call ?还是long或者short call？

3.课件102 页是long put，short sell the underlying and lend ?这里是解释这道题？可这题目说的意思short call，不是long put

4.因为overpriced call推出的short call？

5.那按照解释里的For the example in this case, the value of the call option is 3.714. 这个值是无套利定价下的合理价值？

6.能否解释一下答案里的例子答案，我就没明白时代1和0之间的变化。谢谢




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Lucky_品职助教 · 2022年02月02日

嗨，从没放弃的小努力你好：


经典题视频“Binomial Model”，两倍速播放，17:10处有李老师的详细讲解，建议同学听一下同时回顾知识点，如果还有疑问可以再进行提问~

----------------------------------------------
就算太阳没有迎着我们而来，我们正在朝着它而去，加油！

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