NO.PZ2025040202000021
问题如下:
An arbitrageur dynamically manages a portfolio of options on a single stock. Using the Black–Scholes–Merton model, when the dividend yield on the stock increases, the arbitrageur should:选项:
A.A.lower the number of stocks to buy for calls and lower the number of stocks to short sell for puts. B.B.lower the number of stocks to buy for calls and raise the number of stocks to short sell for puts. C.C.lower the number of stocks to short sell for puts and raise the number of stocks to buy for calls.解释:
A Incorrect because with dividend paying
stocks, the arbitrageur is able to receive the benefits of dividend payments
when long the stock and has to pay dividends when short the stock. Thus, the
burden of carrying the stock is diminished for a long position. The key insight
is that dividends influence the dynamically managed portfolio by lowering the
number of shares to buy for calls and also lowering, not raising, the number of
shares to short sell for puts.
B Correct because
with dividend paying stocks, the arbitrageur is able to receive the benefits of
dividend payments when long the stock and has to pay dividends when short the
stock. Thus, the burden of carrying the stock is diminished for a long
position. The key insight is that dividends influence the dynamically managed
portfolio by lowering the number of shares to buy for calls and raising the
number of shares to short sell for puts.
C Incorrect because with dividend paying
stocks, the arbitrageur is able to receive the benefits of dividend payments
when long the stock and has to pay dividends when short the stock. Thus, the
burden of carrying the stock is diminished for a long position. The key insight
is that dividends influence the dynamically managed portfolio by lowering (not:
raising) the number of shares to buy for calls and lowering, not raising, the
number of shares to short sell for puts.
老师请解释一下这道题