No.PZ2021051201000023 (选择题)
来源:
The strike price and expiration time of a call option and a put option are the same, so which of the following is different ?
您的回答C, 正确答案是: A
A
Rho.
B
volatility.
C
gamma.
解析
Correct Answer: A
The rho of a call is positive. The higher the interest rate, the higher the call value.
The rho of a put is negative. The higher the interest rate, the lower the put value.
考点：衍生- Valuation of Contingent Claims – BSM Model: Greeks
