刘同学2021-09-19 13:50:42
刘同学The price of a stock is at $40, the price of a 3-month put strike at $50 is $12, the price of a 3-month call at $50 is $1.5, and the risk-free rate is 6%. How much, if anything, can be made on an arbitrage? 老师你好，这里面我知道肯定是用咱们课上讲的万能公式P+S=C+K 的，但是在文章的表达中如何把这几个数字准确对应是问题，就好比题目中的12对应的是哪个，1.5对应的又是哪个，
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Evian, CFA2021-09-22 20:36:13
Evian, CFA同学└(^o^)┘你好，
The price of a stock is at $40
这个是市场对于股票的定价，可能是不合理的。
the price of a 3-month put strike at $50 is $12,
p=12
the price of a 3-month call at $50 is $1.5
c=1.5
X=50
and the risk-free rate is 6%.
Rf=0.06
How much, if anything, can be made on an arbitrage?
用p/c/X合成一个s，作为理论合理价格
用市场定价和理论价格对比，看看有没有套利机会
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