wholesale jewelry supplies blog Suppose the stock price on the market is S = 20, the execution price x = 18 yuan, R = 10%, T = 1 year. If the market quotes the price of European -style bullish options is 3 yuan, is there any risk -free arbitrage opportunity? If so, how can he arbitrage?
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wholesale junk earrings jewelry Previously, the two people were estimated to be actual combat. The theory was not solid. This question could be arbitrage, and finally received a net income of 0.79 yuan.
20-18 × e^(-10%× 1) -3 = 0.71 ﹥ 0
∴ Buy to see the bullish options, sell stocks
, Selling stocks 20 yuan, so you need to borrow 20-3 = 17
to lend 17, and receive 17 × e^(10%× 1) = 18.79 yuan
a year later At this time, the options expire, and the execution price is 18. It only takes 18 yuan to buy the stock, so that it is 18.79-18 = 0.79 yuan
. If there are still unclear, you can do it. Looking at the Introduction to Futures and Options Market, the entry version of the classic book written by Herr has a relevant explanation on the fifth version of P194.
wholesale silverware jewelry Whether or not arbitrage depends on the option price calculated according to the conditions. If the calculated price is lower or higher than 3 yuan, there will be risk -free arbitrage. It is not possible to get optional prices according to the conditions you give!
gold diamond jewelry wholesale If you are priced according to the BS model, you should still need to imply volatility, or which stock is it specifically? I don't know what your specific topic is ...