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Lexizhu · 2023年08月23日

absolute value of theta

  1. CFA II
  2. Derivative

NO.PZ2023041003000057

问题如下：

GI Stock and Option Information

If the price of GI stock approaches $75 over the next 30 days, which of the fol­lowing changes in option parameter measures will most likely be observed?

选项：

A.

Decreases in vega and the absolute value of theta

B.

Increases in vega and the absolute value of theta

C.

A decrease in vega and an increase in the absolute value of theta

解释：

Typically, theta is negative for options. The speed of the option value decline increases, however, as time to expiration decreases. Vega is high when options are at or near the money. During the next 30 days, the options will approach expiration and approach being at the money.

A is incorrect.

C is incorrect. Vega increases as the options become closer to at-the-money.

1.经典题里讲的是at the money时，absolute value of theta最大，这个知识点是在哪呢？

2.后来又看押题班，讲的是the speed of the option value decline increases as time to expiration decreases,所以absolute value of theta是增加的

这两种理解都对？还是应该以哪一种为准

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1 个答案

Lucky_品职助教 · 2023年08月25日

嗨，努力学习的PZer你好：


theta是和时间有关的，第二种解释对。这个知识点在希腊字母部分，可以再听一下相关视频加深记忆


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