NO.PZ2025040202000002
问题如下：
A trader engages in a strategy that replicates the payoff of a long position in a put option within a single-period binomial framework. At time step 0, the cash flow is:选项：
A.A.negative. B.B.zero. C.C.positive.解释：
A Incorrect because the trading strategy
that will generate the payoff of taking a long position in a put option is to
short sell -h=-(p+-p-)/(S+-S-)
units of the underlying and financing of -PV(-hS-+p-).
Because p+ is less than p-, the hedge ratio is
negative. With h negative, the trade is a short sale, and because -h is
positive, the value -hS results in a positive cash flow at Time Step 0.
Therefore, the cash flow is not negative.
B Incorrect because the trading strategy
that will generate the payoff of taking a long position in a put option is to
short sell the underlying and financing, therefore, the cash flow is not zero.
C Correct because
the trading strategy that will generate the payoff of taking a long position in
a put option is to short sell -h=-(p+-p-)/(S+-S-)
units of the underlying and financing of -PV(-hS-+p-).
Because p+ is less than p-, the hedge ratio is
negative. With h negative, the trade is a short sale, and because -h is
positive, the value -hS results in a positive cash flow at Time Step 0.
short股票就是从机构手里借入一些股票卖出，这样可以得到一笔钱，再把这个钱进行投资。Short股票得到的钱，再进行投资，应该都在T0时刻发生吧。那就同时有postive和negative的cash flow，为啥是positive呢？
