NO.PZ2019070101000030
问题如下:
Which of the following statement is not correct?
I. Rho for equity options is small.
II. Put option deltas range from -1 to 0.
III. A 20 vega suggests that for a 1% increase in volatility, the option price will decrease by 20%.
IV. Theta is the most negative for at-the-money options.
选项:
A.I.
B.II.
C.III
D.IV.
解释:
C is correct
考点:Other Greek Letters-Other
解析:Vega与期权价格的变动是正向关系,对于一个20 Vega的期权,代表着当Vega增加1%时,期权价格会上升20%。
Rho for equity options is small.为什么影响是小的?