题目
The current price of stock ABC is USD 42 and the call option with a strike at USD 44 is trading at USD 3. Expiration is in one year. The put option with the same exercise price and same expiration date is priced at USD 2. Assume that the annual risk-free rate is 10% and that there is a risk-free bond paying the risk-free rate that can be shorted costlessly. There are no transaction costs. Which of the following trading strategies will result in arbitrage profits?
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 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
The Put-Call parity relation is:「huixue_img/importSubject/1564169526977892352.png」Therefore, there is an arbitrage opportunity by taking a long position in call and buying the risk-free bond and going short on the stock and the put.