NO.PZ2023041003000028
问题如下:
Statement #1
“Based on put–call
parity, an arbitrage opportunity is indicated when the price of the protective
put is greater than the price of the fiduciary call.”
To exploit the
arbitrage condition described in Burke’s Statement #1, two of the actions that
are necessary, but not sufficient, are:
选项:
A.sell the put and sell the underlying asset.
sell the put and sell the appropriate risk-free bond.
buy the call and buy the underlying asset.
解释:
Burke’s Statement
#1 has the price of the protective put above that of the fiduciary call.
Put–call parity establishes that the two should be equal. To exploit an
arbitrage condition, one buys the (relatively) undervalued and sells the
(relatively) overvalued. Thus, in this problem, one would sell the overvalued
protective put (sell the put and sell the asset) and buy the undervalued
fiduciary call (buy the call and buy the appropriate risk-free bond). Only answer
A is a correct statement in exploiting this arbitrage.
C哪里错,不是买入低估的call和asset吗?