题目
According to the Black-Scholes-Merton model for evaluating European options on non-dividend paying stock, which option sensitivity (Greek) would be identical for both a call and a put option, given that the implied volatility, time to maturity, strike price, and risk free interest rate were the same? I. Gamma II. Vega III Theta IV Rho
选项
A.II only
B.I and II
C.All the above
D.III and IV
答案
B
解析
Gamma and vega are identical for calls and puts with the same strike price and time to expiration.Gamma和vega在看涨期权和看跌期权方面具有相同的执行价格和到期时间。