NO.PZ2019010402000019
问题如下：
The market price of the put option is overpriced relative to the binomial option pricing mode, what the positions the manager could have to take arbitrage opportunity’s advantage?
选项：
A.short put and buy the underlying
B.long put and buy the underlying
C.short put and short sell the underlying
解释：
C is correct.
考点：No-arbitrage approach
解析：
- 现在市场中的put option价格被高估，所以应该short put。但因为无套利需要满足两个条件：1.不承担任何风险，2.自己不出钱。Short put头寸在股票价格下跌时有亏损，所以需要再加上一个当股票价格下跌时可以带来收益的头寸，即short sell the underlying.
- 也可以从复制的角度出发，因为市场中的put被高估，所以short put。因为套利是买卖相同的东西，所以需要再复制一个put option的long头寸。long put头寸可以通过short sell the underlying 和lend a portion of the proceeds来实现。
short sell the underlying不就是相当于buy underlying吗？
另外这道题到底是用CK=PS 还是二叉树的方法来思考呢？
