【摘要】 本文介绍了有价证券的非套利价格概念,并在已知现在的股票价格、利率、执行价格和到期日以及该时刻股票价格的下界时,给出了选择权非套利价格的上界。作为该结论的应用,本文就选择权的市场价格高于非套利价格的上界为例,设计了一个套购行为的实例。更多还原

【Abstract】 This paper, through introducing the concept of non-arbitrage prices for security pricing, gives an upper bound of the option’s nonarbitrage price when we only know the present price of the stock, the interest rate, the exercise price, the expire date and the lower bound of the stock price at expire date. As an application of this conclusion, arbitraging behaviors are designed when the market price of the option is out of the upper bound of the option’s nonarbitrage price.更多还原