short call是否在long call前加负号

问题如下：

Within the no-arbitrage single-period binomial framework, which of the following trading strategies replicates the payoff of a short call option?

选项：

A.A.Going long the underlying and borrow cash B.B.Going long the underlying and investing proceeds C.C.Going short the underlying and investing proceeds

解释：

A Incorrect because under the no-arbitrage approach, for writing a call option, the writer will be selling stock short and investing proceeds (i.e. lending), to generate the payoff of taking a short position in a call option. Longing the underlying and borrowing will generate the payoffs of writing a put option.

B Incorrect because under the no-arbitrage approach, for writing a call option, the writer will be selling stock short and investing proceeds (i.e. lending), to generate the payoff of taking a short position in a call option.

C Correct because the no-arbitrage approach is a replicating strategy: A call option is synthetically replicated with the underlying and financing. For writing a call option, the writer will be selling stock short and investing proceeds (i.e. lending). If the value of the net portfolio at Time Step 0 is not zero, the strategy of short selling the underling and lending, will push the call price up and the underlying price down until the net cash flow at Time 0 is zero.