NO.PZ2023020101000027
问题如下：
Jeffinsin introduces option Greeks into
the conversation, stating, “The BSM model contains six inputs: the stock price,
the option’s exercise price, dividends, the risk-free interest rate, time to
maturity, and implied volatility. The effect of the BSM model inputs on the
price of an option can be measured by the option Greeks. Delta and gamma are
measures of the relationship between a change in the stock price and the option
price. Theta is a measure that typically approaches zero at an increasing rate
as the option approaches maturity. Holding all other factors constant, Vega is
a measure that typically is higher whenever an option is “out of the money.”
Jeffinsin’s statement about option Greeks
is least likely correct with respect to:
选项：
A.vega.
theta.
C.
delta
and gamma.
解释：
A is correct. Jeffinsin’s statement regarding
vega is not correct. Vega measures the effect of changes in implied volatility
on the price of an option, holding all other factors constant. Vega is high
whenever an option trades “near or at the money.” Vega is lower whenever an option
is trading ”out of the money.”
B is incorrect. Jeffinsin’s statement with
respect to theta is correct. Theta measures the effect of time erosion of an
option, holding all other factors constant.
C is incorrect. Jeffinsin’s statement with
respect to delta and gamma is correct. Delta and gamma measure the effect of a
change in the stock price on an option, holding all other factors constant.
Theta is a measure that typically approaches zero at an increasing rate as the option approaches maturity
是指，随着option到期，theta接近0（即t接近0）。
问题：at an increasing rate说的是什么？
