题目
The current price of stock ABC is $42 and the call option with a strike at $44 is trading at $3. Expiration is in one year. The corresponding put is priced at $2. Which of the following trading strategies will result in arbitrage profits? Assume that the risk-free rate is 10% and that the risk-free bond can be shorted costlessly. There are no transaction costs.
选项
A.Long position in both the call option and the stock, and short position in the put option and risk-free bond.
B.Long position in both the call option and the put option, and short position in the stock and risk-free bond.
C.Long position in both the call option and the risk-free bond, and short position in the stock and the put option.
D.Long position in both the put option and the risk-free bond, and short position in the stock and the call option.
答案
C
解析
Answers A and B have payoffs that depend on the stock price and therefore cannot create arbitrage profits.Put-Call parity says that c-p=3-2=$1 should equal「huixue_img/importSubject/1564169527124692992.png」.The call option is cheap. Therefore buy the call and hedge it by selling the stock, for the upside. The benefit from selling the stock if goes down is offset by selling a put.A和B的收益取决于股票价格，因此不属于套利利润。 根据买卖权平价，c-p=3-2=$1 应该等于 现在不等说明存在套利机会。因此，买低卖高，买入看涨期权卖出看跌期权（即买入：C-P）；卖出股票买入无风险债券。