开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)|3.2.5(安卓)APP下载

壹贰三番 · 2025年05月02日

C哪里错,不是买入低估的call和asset吗?

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.

B.

sell the put and sell the appropriate risk-free bond.

C.

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?

1 个答案

李坏_品职助教 · 2025年05月02日

嗨,努力学习的PZer你好:


题目说protective put  价格 大于 fiduciary call。

那就是put + stock > call + X/(1+r)^T。


C说的是买入call,这个没问题,但是买入stock肯定不合适。call与stock是分别处在不等式的两边,一个是低估一个是高估,所以都买入那就不对了。 我们应该把左侧被高估的全都卖掉,那就是卖出put并且卖出stock,那就是A选项正确。

----------------------------------------------
虽然现在很辛苦,但努力过的感觉真的很好,加油!

  • 1

    回答
  • 0

    关注
  • 3

    浏览
相关问题