Assume that there are no transaction costs and that securities are infinitely divisible, ff an 8 percent coupon paying bond (with semi-annual coupon payments) that has six months left to maturity trades at 97.54, and there is a zero-coupon bond with six months remaining to maturity that is correctly priced using a discount rate of 9 percent, is there an arbitrage opportunity（）
A. Yes, the coupon bond price is too low.
B. Yes, the coupon bond price is too high.
C. The coupon bond is not correctly priced but no arbitrage trade can be set up using the zero-coupon bond.
参考答案：A
解析：
The coupon bond has a cash flow at maturity of 104, which discounted at 9% results in a bond price of 99.52. Therefore, the bond is under-priced. An arbitrage trade can be set up by short selling 1.04 units of the zero-coupon bond at 99.52 and then using the proceeds to buy 1.02 units of the coupon bond.
