NO.PZ2023091802000118
问题如下：
Options have just
started trading for a non-dividend-paying stock. The stock is trading at USD
50. The risk-free rate is 1.5% per year. The prices of some 1-year European
options on the stock are displayed in the table below. What arbitrage
opportunity exists given these prices?
选项：
A.Sell two calls with strike USD 40; buy one call with strike USD 50; sell one call with strike USD 60
B.Buy one call with strike USD 40; sell two calls with strike USD 50; buy one call with strike USD 60
C.Sell two calls with strike USD 40; buy one call with strike USD 50; buy one call with strike USD 60
D.Buy one call with strike USD 40; sell two calls with strike USD 50; sell one call with strike USD 60
解释：
我计算出D可以获得最大收益，但是正确答案是B
