NO.PZ202304100300003504
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.
buy shares of Alpha stock and borrow.
short shares of Alpha stock and borrow.
解释：
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:
卖出看涨期权就是-C0=PV（）-hS0，不应该选B么？
