If risk is defined as a potential for un...

题目

If risk is defined as a potential for unexpected loss, which factors contribute to the risk of a short call option position?

选项

A.Delta, Vega, Rho

B.Vega, Rho

C.Delta, Vega, Gamma, Rho

D.Delta, Vega, Gamma, Theta, Rho

答案

C

解析

For a short call, Delta Vega, Gamma, and Rho contribute to the risk of the position. Theta is not a risk factor.对于一个卖出看涨期权，Delta Vega, Gamma，和Rho对头寸的风险有贡献。Theta不是一个风险因子。