EXCEL：财政金融建模Problems 13.xlsVIP

Exercise 10 Exercise 9 Exercise 8 Exercise 7 Exercise 6 Exercise 5 Exercise 4 Exercise 3 Exercise 2 Exercise 1 American Express Options Strike Expiration Call Put Feb Apr Jul Mar Arbitrage: Buy April Option Sell Feb. Option Net Today The strategy: If the February option is exercised, exercise the April option to cover; the future cash flow will thus at worst be zero. The initial cash flow, as shown above, will be positive. The most likely explanation for the apparent arbitrage is that the newspaper quotes are from different times of day and thus do not represent a true arbitrage opportunity (the latter would require simultaneous quotes). X=50 P=6 X=60 P=10 1 put bought and 1 call bought ST Profit We get the value by solving: Max(0,ST - 60)) -10+Max(0, 50-ST)-6 = Max(0,ST-60))-10+2(Max(0,50-ST)-6)) = ST = 44 Write Call with X=90 Buy Call with X=100 Time = T ST 90 90ST100 100ST Buy -20 ST -100 Write +30 -(ST-90) -(ST-90) TOTAL +10 (-ST-90) -10 -10 The PV of 10 at time T = 10e-rT = 9.048374 Since the spread today is 10, the maximum present value of the future is 9.048374. Therefore, the difference between the two call prices is too large and a riskless arbitrage exists. Another way to do this is to invest the proceeds in a riskless security: Buy bond (-ST-90) - 10+11.05 0 -10+11.050 4a) buy 1 share ST buy 1 call Max(0,ST-90)-8 4b) buy 2 call 2*(Max(0,ST-90)-8) 4c) For 1 share + 1 Call For 1 share + 2 Calls For 1 share + 3 Calls As shown on the graph, the profit lines cross at 98. By Put-Call Parity C+Xe-rT=P+S0 C Bond Xe-rT S0 r T C+Xe-r P+S0 Therefore, we write put, short stock, buy call and buy bond. Arbitrage At Time T ST S0 ST S0 Write Put -(80-ST) Short Stock -ST Buy Call ST-80 Buy Bond The prices violate the convexity arbitrage proposition, which says that 2*P(50)P(40)+P(60). Thus an arbitrage strategy is to sell two of the 50 puts and to buy a 40 and a 60 put. This gives the following profit diagram: Note that the profit is positive, no matter what the