NO.PZ2021061002000042
问题如下：
Based on the binomial model,
a call option is overvalued, how should investors carry out the arbitrage?
选项：
A.borrowing money at risk-free
rate, buying the underlying stock，and writing a call
option
lending money at risk-free rate,
buying the underlying stock，and writing a call option
borrowing money at risk-free
rate, selling the underlying stock，and writing a call
option
解释：
A is correct
在二叉树定价模型下，现在认为call被高估了，那么就要short call，同时long一份复制的call来进行套利操作。
而选项中borrowing at the risk-free
rate and buying the underlying，即借钱买股票，这可以复制出一个long call的头寸，然后再卖出一个被高估的call，从而低买高卖赚取价差，只有A选项符合。
嗨，从没放弃的小努力你好：
这道题的思路是这样的，知道要short call，因为要空手套利，所以就需要再long call的复制品，在二叉树定价模型下，long call = long stock+short bond，所以我们的头寸是，short call + long stock + short bond；long stock 等于 buying underlying，short bond 等于 borrowing money。
这道题解题思路没看懂
