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Celina_SUN · 2019年11月14日

问一道题:NO.PZ2016082404000035 [ FRM I ]

问题如下图:

选项:

A.

B.

C.

D.

解释:

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

2 个答案

orange品职答疑助手 · 2019年11月15日

同学你可以看一下这张图,因为快要到期的时候,现货价格变动一点,对期权价格的影响都很高。而gamma是期权价格对现货价格的二阶导数


orange品职答疑助手 · 2019年11月14日

同学你好,我没懂你问题,当期权的剩余到期期限变短的时候,gamma会上升,选项C和C的解析说的是一回事呀

Celina_SUN · 2019年11月14日

那为什么期权的剩余到期期限变短的时候,gamma会上升呢?

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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

是理解不了

2019-10-31 21:51 1 · 回答