题目
A knock-in barrier option is harder to hedge when it is:
选项
A.in the money
B.out of the money
C.at the barrier and near maturity
D.at the inception of the trade
答案
C
解析
Owing to their inherent discontinuities, both knock-in and knock-out barrier options are relatively difficult to hedge (and value) when the spot price is close to the barrier price and the contract is near maturity.当现货价格还没有碰到障碍价格，但即将碰到障碍价格的时候，尤其是期权即将到期时，是最难对冲的，因为此时期权可能仍然无效，也可能碰到障碍价格，变得有效。