请教MFE的一个题目

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http://www.pinggu.org/bbs/viewthread.php?tid=1046001&page=1&from^^uid=938102

now i have some questions regarding the above link's discussion .there is a example in mfe's manual.
for a non-dividend paying stock with price 21:
i:risk-free rate is 4%
ii: a euro 3-month put option on the stock with strike price 20 cost 1
iii: a euro 6-month put option on the stock with strike price 20.3 cost 0.9
you take advantage of arbitrage. assume that you sell one 3-month put option and follow the optimal strategy,and that the stock price is 19 after 3 months and 21 after 6 months.
determine your net profit after 6 month.
the answer for the example in maunal show us a cash flows figure.


who could explain the cash flow explicitly? it will be better if you reply to me with chinese...thanks a lot.
i want to know the cash value at 3 months time point, why i should pay 1 ?

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关键词：MFE Discussion Arbitrage determine regarding 请教 题目 MFE

cash inflow: +; cash outflow: -
t=0:
卖出3-month put, +1; 买进6-month put, -0.9
t=3-month:
股价为19, 低于put strike price 20, 即此put的购买者将会exercise put,  作为put writer, 必须要用20块的strike price来买进这个stock. => cash flow = -20
"why should I pay 1?" <- 因为你用20块买进了一个目前只值19块的stock, 所以输了1块钱.
t=6-month:
现在你手上有一个股票. current price=21.
由于21> strike price, 这个put expire worthless. 你把这个股票卖掉, 得到21块钱.
综上所述, cash flow of t=0: 0.1; t=3-month: -20; t=6-month: 21. 总体是正数(即使考虑interest rate). 所以是arbitrage.

谢谢谢谢,知道了,我看表头是purchase of stock 是19，我还以为19是自愿买进的stock,而不是put exercise.原来那1元是亏损差价...谢谢,明白了 2# joysun_10