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· 2022年02月10日

看了解答依然不明白为何要short stock

NO.PZ2020021203000077

问题如下:

A European call and European put option on a stock both cost USD 5 with a common strike price USD 30 and a common time to maturity of one year. The current stock price is USD 30. What arbitrage opportunities does this create? Assume no dividend is paid and the interest rate is positive.

选项:

解释:

From put-call parity, the excess of the call price over the put price is S - PV(K). In this case S = K = 30 and so S - PV(K) is positive. The call should be worth more than the put, but they are both worth the same. An arbitrageur should buy the call, sell the put, and short the stock.

根据这道题S-K=C-P

C说明long call

-P说明short put

那请问所以是-K说明是short stock的意思吗?

谢谢


1 个答案

李坏_品职助教 · 2022年02月10日

嗨,爱思考的PZer你好:


假设put-call parity成立,应该有C + PV(K)= S+ P。


按照题目的C=P=5, S=30,K=30,所以上面那个等式的左边小于右边了。左边被低估,右边被高估了。所以我们要long左边,short右边。


long左边就是买入Cal,short 右边就是short Put和stock

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