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红豆生南国 · 2020年05月02日

问一道题:NO.PZ2018062007000080

问题如下:

If a call option is priced higher than the binomial model predicts, investors can earn a return in excess of the risk- free rate by:

选项:

A.

investing at the risk- free rate, selling a call, and selling the underlying.

B.

borrowing at the risk- free rate, buying a call, and buying the underlying.

C.

borrowing at the risk- free rate, selling a call, and buying the underlying.

解释:

C is correct. If an option is trading above the value predicted by the binomial model, investors can engage in arbitrage by selling a call, buying shares of the underlying, and funding the transaction by borrowing at the risk- free rate. This will earn a return in excess of the risk- free rate.

请老师解释一下二叉树模型,另外这道题是不是讲如何套利call?

1 个答案

xiaowan_品职助教 · 2020年05月06日

嗨,从没放弃的小努力你好:


同学你好,

二叉树模型是在假设标的资产在未来一期有上涨下跌两种情况的前提下,对期权进行估值的一种方法。

更具体的推导方式可以再回顾一下老师的课堂视频。

这道题确实是讲call的套利,题目认为相较于二叉树的估值方法,call被高估了,那么就short call,并且long 可以组成call的一个组合,这个组合是由二叉树模型推导出来的

 


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努力的时光都是限量版,加油!


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