w******l
发帖数: 58 | 1 three european call options with strike price 10,15,20,
and the price of the options are 4,3,1, is there an
arbitrage opportunity? | J****g
发帖数: 103 | 2 yes, butterfly.
【在 w******l 的大作中提到】
: three european call options with strike price 10,15,20,
: and the price of the options are 4,3,1, is there an
: arbitrage opportunity?
| w******l
发帖数: 58 | 3 can u explain a little bit.
The interviewer said no arbitrage...
I didn't quite agree though
【在 J****g 的大作中提到】
: yes, butterfly.
| r*******s
发帖数: 303 | 4 C(K) call option as function of strike.
c''(k) > 0, convex function of K.
C(10)+(20) > 2*C[(10+20)/2]
so there's arbitrage. | z****i
发帖数: 406 | 5 Buy one 10 strike call,
buy one 20 strike call,
short two 15 strike calls.
【在 w******l 的大作中提到】
: three european call options with strike price 10,15,20,
: and the price of the options are 4,3,1, is there an
: arbitrage opportunity?
| J****g
发帖数: 103 | 6 恩， 就是楼上说的那样。 Use butterfly strategy - buy one 10call, one 20call
and short 2 15calls. And you can find out that there's an arbitrage
opportunity no matter what the stock price is. (S_t<=10; 10
【在 w******l 的大作中提到】
: can u explain a little bit.
: The interviewer said no arbitrage...
: I didn't quite agree though
| x**y
发帖数: 10012 | 7 算反了 大哥
你能收到1块钱
这个绝对是个arbitrage | x**y
发帖数: 10012 | 8 mis price 了
当然是arbitrage了 |
|
