l****y
发帖数: 92 | 1 Suppose that a long put with strike $100 is selling for $10, and a long call
with strike $110 (on the same stock with same maturity T) is selling for $
11.5. The spot price of the asset is $100, and discount exp^(-rT)=0.9. Does
an arbitrage exist? If yes, how to construct it? If no, how to prove it? | j****g
发帖数: 4 | 2 put call parity
call
Does
【在 l****y 的大作中提到】
: Suppose that a long put with strike $100 is selling for $10, and a long call
: with strike $110 (on the same stock with same maturity T) is selling for $
: 11.5. The spot price of the asset is $100, and discount exp^(-rT)=0.9. Does
: an arbitrage exist? If yes, how to construct it? If no, how to prove it?
| l****y
发帖数: 92 | 3 I did it using put-call parity and I couldn't find arbitrage, however how to
prove it?
【在 j****g 的大作中提到】
: put call parity
:
: call
: Does
| J*****n
发帖数: 4859 | 4
call
Does
you long rho and skew, that is it.
【在 l****y 的大作中提到】
: Suppose that a long put with strike $100 is selling for $10, and a long call
: with strike $110 (on the same stock with same maturity T) is selling for $
: 11.5. The spot price of the asset is $100, and discount exp^(-rT)=0.9. Does
: an arbitrage exist? If yes, how to construct it? If no, how to prove it?
| l****y
发帖数: 92 | 5 what is "rho"?
【在 J*****n 的大作中提到】
:
: call
: Does
: you long rho and skew, that is it.
| J*****n
发帖数: 4859 | 6
interest rate sensitivity
【在 l****y 的大作中提到】
: what is "rho"?
| m********t
发帖数: 16 | 7 isn't put-call parity only suitable for the same strike price? | l****y
发帖数: 92 | 8 Yes, so we can calculate C(K=100) and P(K=110) from the p-c parity. All
these values satisfy the lower and upper bounds for call, put options, so it
seems no arbitrage.
【在 m********t 的大作中提到】
: isn't put-call parity only suitable for the same strike price?
| i****e
发帖数: 78 | 9 there is no arbitrage, but should be a good deal.
short put, short underlying, and buy the call to
construct a bear call spread. save the premium earning
interest. the premium will grew to (110-11.5)/0.9=109.5.
at expiry,
if S<100, will be put a underlying to cover the
short underlying position by paying $100, call will be 0,
so the profit is 190.5-100=9.5.
if S>110, put will be zero, call one underlying with $110
to cover the short underlying position. will lose 0.5
if 100
【在 l****y 的大作中提到】
: Suppose that a long put with strike $100 is selling for $10, and a long call
: with strike $110 (on the same stock with same maturity T) is selling for $
: 11.5. The spot price of the asset is $100, and discount exp^(-rT)=0.9. Does
: an arbitrage exist? If yes, how to construct it? If no, how to prove it?
| h*****u
发帖数: 38 | 10 long call and long put means buy price right? |
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