As explained in the appendix to the

As explained in the appendix to the chapter, put–call parity implies that European put and call options have the same implied volatility. If a call option has an implied volatility of 30% and a put option has an implied volatility of 33%, the call is priced too low relative to the put. The correct trading strategy is to buy the call, sell the put and short the stock. This does not depend on the lognormal assumption underlying Black–Scholes–Merton. Put–call parity is true for any set of assumptions.

結果 (繁體中文) 1:

作為附錄一章中解釋的那樣，把呼叫平價意味著歐洲看跌和看漲期權具有相同的隱含波動率。如果看漲期權有30％的隱含波動率和認沽期權有33％的隱含波動率，呼叫售價過低相對於看跌期權。正確的交易策略是買來電，賣出看跌期權做空股票。這並不取決於對數正態分佈假設的Black-Scholes-默頓底層。期權平價為任何一套假設如此。

結果 (繁體中文) 2:

如本章附錄中所述，即點平價意味著歐洲放數和呼叫期權具有相同的隱含波動性。如果一個期權的隱含波動率為30%，而做份期權的隱含波動性為33%，則相對於做數而言，該期權的定價過低。正確的交易策略是買入買入，賣出做空股票。這並不取決於黑-斯科爾斯-默頓的對數假設。對於任何一組假設，放-呼叫同位都是正確的。

結果 (繁體中文) 3:

如本章附錄所述，看跌期權與看漲期權平價意味著歐洲看跌期權和看漲期權具有相同的隱含波動性。如果看漲期權的隱含波動率為30%，看跌期權的隱含波動率為33%，那麼相對於看跌期權，看漲期權的定價過低。正確的交易策略是買入看漲期權，賣出看跌期權，做空股票。這並不取決於布萊克-斯科爾斯-默頓的對數正態假設。對任何一組假設來說，看漲期權平價都是正確的。