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Vicent890203 · 2021年06月02日

老师，这道题能不能再详细解释下

  1. CFA I
  2. Derivative

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.

long啥short完全没头绪，怎么构建一个组合也不懂
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2 个答案

丹丹_品职答疑助手 · 2021年06月03日

嗨，从没放弃的小努力你好：


同学你好，题干中已经说了是borrowing at the risk-free rate and buying the underlying，也就是借钱买股票就可以复制出一个call

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就算太阳没有迎着我们而来，我们正在朝着它而去，加油！

丹丹_品职答疑助手 · 2021年06月02日

嗨，努力学习的PZer你好：


同学你好，根据题干目前的call 价格高于二叉树合理定价水平，所以我们可以卖出一个call。

买入价格低的，卖出价格高的一直是咱们的套利策略哈

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就算太阳没有迎着我们而来，我们正在朝着它而去，加油！

Vicent890203 · 2021年06月03日

可是怎么合成一个call呢

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NO.PZ2018062007000080问题如下 If a call option is pricehigher ththe binomimol prects, investors cearn a return in excess of the risk- free rate by:A.investing the risk- free rate, selling a call, anselling the unrlying.borrowing the risk- free rate, buying a call, anbuying the unrlying. C.borrowing the risk- free rate, selling a call, anbuying the unrlying. C is correct. If option is trang above the value prectethe binomimol, investors cengage in arbitrage selling a call, buying shares of the unrlying, anfunng the transaction borrowing the risk- free rate. This will earn a return in excess of the risk- free rate.中文解析在二叉树定价模型下，现在认为call被高估了，那么就要short call，同时long一份复制的call。低买高卖进行套利。而中borrowing the risk-free rate anbuying the unrlying，也就是借钱买股票就可以复制出一个call，这样我们可以通过卖出一个被高估的call，买入一个合理定价的call来获利。 老师，能不能说一下，这道题的知识点是在哪里呀，树上有关binomimol的课件没找到这一块。谢谢

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