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Lucy · 2020年03月16日

问一道题：NO.PZ2020021203000077 [ FRM I ]

  1. FRM I
  2. Financial Markets And Products

问题如下：

A European call and European put option on a stock both cost USD 5 with a common strike price USD 30 and a common time to maturity of one year. The current stock price is USD 30. What arbitrage opportunities does this create? Assume no dividend is paid and the interest rate is positive.

解释：

From put-call parity, the excess of the call price over the put price is 5 - PV(K). In this case 5 = K = 30 and so 5 - PV(K) is positive. The call should be worth more than the put, but they are both worth the same. An arbitrageur should buy the call, sell the put, and short the stock.

C-p为什么不等于30-PVK呢？
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2 个答案

小刘_品职助教 · 2020年03月26日

同学你好，

假设put-call parity成立，应该有C-P=S-PV（K）

按照S=30，K=30，C-P=30-PV（30）应该大于0，

但是目前的实际定价情况是C-P=0，所以C、P、S的定价肯定出现了问题，C应该更值钱一些，所以是long call，sell put  short stock。

题目里的5写错了，应该是S，我们马上改正，感谢你的提醒:-)

小刘_品职助教 · 2020年03月16日

同学你好，

这道题正是因为put-call parity不成立，所以才存在套利机会哈:-)

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NO.PZ2020021203000077问题如下A Europecall anEuropeput option on a stoboth cost US5 with a common strike priUS30 ana common time to maturity of one year. The current stopriis US30. Wharbitrage opportunities es this create? Assume no vinis paianthe interest rate is positive.From put-call parity, the excess of the call priover the put priis S - PV(K). In this case S = K = 30 anso S - PV(K) is positive. The call shoulworth more ththe put, but they are both worth the same. arbitrageur shoulbuy the call, sell the put, anshort the stock.Call市场价格低谷，所以long call short put，那么根据put call parity公式，怎么推断出short stock

2024-05-30 13:37 1 · 回答

NO.PZ2020021203000077问题如下A Europecall anEuropeput option on a stoboth cost US5 with a common strike priUS30 ana common time to maturity of one year. The current stopriis US30. Wharbitrage opportunities es this create? Assume no vinis paianthe interest rate is positive.From put-call parity, the excess of the call priover the put priis S - PV(K). In this case S = K = 30 anso S - PV(K) is positive. The call shoulworth more ththe put, but they are both worth the same. arbitrageur shoulbuy the call, sell the put, anshort the stock.我算出来cp之间的定价不合理，但是不知道策略怎么定

2022-05-06 06:54 1 · 回答

NO.PZ2020021203000077 根据这道题S-K=C-P C说明long call -P说明short put 那请问所以是-K说明是short stock的意思吗？ 谢谢

2022-02-10 00:40 1 · 回答

请问为什么要short stock呢

2020-08-31 12:30 2 · 回答