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何小建 · 2019年10月08日

问一道题：NO.PZ2016082404000035 [ FRM I ]

  1. FRM I
  2. Financial Markets And Products

问题如下图：能解释一下d不？

选项：

A.

B.

C.

D.

解释：

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1 个答案

品职答疑小助手雍 · 2019年10月09日

同学你好，这个需要稍微想象一下，atm的欧式（时间价值最大）随着到期日不断临近（还是有机会行权或者不行权的），它的价值随着时间推移的变动会比otm的欧式（本身很便宜，反正不太会行权了，时间变一点我还是不太会行权，降价也降不了多少）大。

想象不出来就当成结论稍微记一下~ATM的期权不光时间价值最大，而且theta的绝对值也最大。

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NO.PZ2016082404000035 问题如下 Whiof the following statements is incorrect?   The vega of a European-style call option is highest when the option is at-the-money.   The lta of a European-style put option moves towarzero the priof the unrlying storises.   The gamma of at-the-money European-style option ten to increase the remaining maturity of the option creases.   Compareto at-the-money European-style call option, out-of-the- money European-style option with the same strike prianremaining maturity ha greater negative value for theta. ANSWER: D Vega is highest for ATM Europeoptions, so statement A is correct. lta is negative and moves to zero S increases, so statement B is correct. Gamma increases the maturity of ATM option creases, so statement C is correct. Theta is greater (in absolute value) for short-term ATM options, so statement is incorrect. C，随着到期日临近，the money 的gamma上升；in/out the money 的gamma下降。请分别一下为什么？

2024-04-13 21:18 1 · 回答

NO.PZ2016082404000035问题如下 Whiof the following statements is incorrect?   The vega of a European-style call option is highest when the option is at-the-money.   The lta of a European-style put option moves towarzero the priof the unrlying storises.   The gamma of at-the-money European-style option ten to increase the remaining maturity of the option creases.   Compareto at-the-money European-style call option, out-of-the- money European-style option with the same strike prianremaining maturity ha greater negative value for theta. ANSWER: D Vega is highest for ATM Europeoptions, so statement A is correct. lta is negative and moves to zero S increases, so statement B is correct. Gamma increases the maturity of ATM option creases, so statement C is correct. Theta is greater (in absolute value) for short-term ATM options, so statement is incorrect. 关于答案错误的原因Theta is greater (in absolute value) for short-term ATM options, so statement is incorrect.我觉得和表述的不是一回事，我对理解是对于theta，无论是call还是put，都小于0，ATM时|theta|最大，OTM和ITM时，with the same strike prianremaining maturity，|theta|更小。

2022-03-23 10:58 1 · 回答

Whiof the following statements is incorrect?   The vega of a European-style call option is highest when the option is at-the-money.   The lta of a European-style put option moves towarzero the priof the unrlying storises.   The gamma of at-the-money European-style option ten to increase the remaining maturity of the option creases.   Compareto at-the-money European-style call option, out-of-the- money European-style option with the same strike prianremaining maturity ha greater negative value for thet ANSWER: Vega is highest for ATM Europeoptions, so statement A is correct. lta is negative anmoves to zero S increases, so statement B is correct. Gamma increases the maturity of ATM option creases, so statement C is correct. Theta is greater (in absolute value) for short-term ATM options, so statement is incorrect. 老师您好，解析里说 Theta is greater (in absolute value) for short-term ATM options, 这个没错。可是的是 a greater negative value for theta啊，这也是对的啊，又不是比较绝对值之后值的大小。是我英文理解的问题吗？

2020-05-08 21:44 1 · 回答

请问C的remaining maturity不是应该是快到期的时间么？为什么里面直接把它当成两个不一样maturity的option来看了？

2019-11-14 09:42 2 · 回答

是理解不了

2019-10-31 21:51 1 · 回答