题目
The price of a non-dividend-paying stock is $20.00. The price of a one-year European call option on the stock with a strike price of $21.00 is $4.00. The price of a one-year European put option on the stock with a strike price of $21.00 is $5.00. The risk-free rate is 4.0%. What is the future net profit collected by the arbitrage trade, assuming no transaction costs?
选项
A.Zero
B.$0.42
C.$0.82
D.$0.86
答案
D
解析
c＋Ke^(-rT)= 4＋21e^(-4%×1)=$24.17568 p＋S= 5＋20=$25.00; i.e., put-call parity is violated PV(profit) = $25 - $24.17568 = $0.8234, such that: FV(profit) = $0.8234×e^(4%×1) = $0.8570 In regard to (C), $0.82 is correct but for the present value of the future payoff. 根据买卖权平价公式： c＋Ke^(﹣rT)= 4 21e^(﹣4%×1)=$24.17568 p＋S= 5＋20=$25.00; 存在套利机会 套利利润现值：PV(profit) = $25﹣$24.17568 = $0.8234 套利利润终值：FV(profit) = $0.8234×e^(4%×1) = $0.8570