2. You have XYZ trading at $42. European 6-month 40 calls and puts are traded at:

                      call        put

bid/ ask   5/ 5.5      2.75/ 3.25

Assume the risk free rate is 0%, do you see any arbitrage opportunity?

我想到Put-Call Parity。但真心不懂bid /ask 要怎麽选。

bid是我卖的价格？ask是我买的价格？

这样算出来没有arbitrage opportunity但Put-Call Parity却不成立啊！

(我有查到有人把bid/ask取平均当成option value，真是这样？)

求解惑

3. A stock priced $40, could either appreciate or depreciate by 10% . Two period and one month for each period. The risk-free rate is 2% per annum. Shout at time 1. What is the value of the shouting?

没有给原本的exercise price要怎求啊？

4. The value of a projct is $100 and cost at t=0 is $104. The project value follows a binomial model: go up to $180 or down to $60. The government posts a guarantee of $78 at time 1. What is the value of the option? RRR=20% and risk-free rate=8% per period.

ZF保证那边是指把＄60替换成＄78？

5. The value of a company is 1000 and expected to go up by 20% or go down by 10%. The company has a two-year zero-coupon debt with face value of 500. The risk-free rate is 4%. The cost of equity is 14%. What is the yield on the debt?

完全不懂

{:3_60:}