A答案为什么错了？

问题如下：

Anderson’s conclusion about the profitability of the AVC convertible arbitrage trade is:

选项：

A.correct

B.incorrect, because the profit will be higher if the share price decreases.

C.incorrect, because the profit will be higher if the share price increases

解释：

A is correct. The classic convertible bond arbitrage strategy is to buy the relatively undervalued convertible bond and take a short position in the relatively overvalued underlying stock. If the convertible bond’s current price is near the conversion value, then the combination of a long convertible and short equity delta exposure will create a situation where for small changes in the share price and ignoring dividends and borrowing costs, the profit/loss will be the same. The current conversion price of the AVC convertible bond is €1,000 × (115/100)/50 = €23, and the current AVC share price is €28. Thus, by purchasing the convertible bond, selling short the shares, exercising the conversion option, and selling the shares at the current market price, a profit of €5 can be locked in regardless of changes in the share price. The following table demonstrates this result by showing the same trade profit of €5 for three different stock prices

where Long stock via convertible bond profit = New share price – Current conversion price Short stock profit = Current share price – New share price Total profit = Long stock via convertible bond profit + Short stock profit Thus, regardless of the share price, the total profit on the convertible arbitrage trade is €5