[求指教]一道关于期权的题目。

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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.
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
此题为真题，我不太理解，求高手指点。

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关键词：求指教 Transaction Strategies Arbitrage following following position current option result

这题是个典型的put cal  parity的题目~
put cal  parity 为 p+S = c+B 我喜欢这么记忆~一边是PS软件，剩下另一边是剩下的c和B, B就是公式里的risk-free那个，我喜欢标为B当做bond记忆
然后这道题 c=p+S-B=2+42-44*(e^-10%)=4.19 大于实际的c的3
所以要套利就要买便宜的，卖高的，也是long c  short (p+S-B) 也是就 long c short p short S long B
希望有帮助~~~

refer to Page 114,Please

sniperbill 发表于 2011-10-9 02:56
这题是个典型的put cal  parity的题目~
put cal  parity 为 p+S = c+B 我喜欢这么记忆~一边是PS软件，剩下 ...

感谢指点。