NO.PZ2023091802000152
问题如下：
Which of the following statements is correct?
I. The rho of a call option changes
with the passage of time and tends to approach zero as expiration approaches,
but this is not true for the rho of put options.
II. Theta is always negative for long calls and long puts and positive for short calls and short puts.
选项：
A.
I only.
B.
II only
C.
I and II
D.
Neither
解释：
Statement I is false – rho of a call and a put will change, with
expiration of time and it tends to approach zero as expiration approaches.
提出european put option的因素，这句话对吗？long theta 小于0，short theta 大于0，short theta大于0，是因为t接近T，买方行权机会变小，卖方拿到期权费同时不承担亏损的概率变大？
