题目
Which of the following Greeks contributes most to the risk of an option that is close to expiration and deep in the money?
选项
A.Vega
B.Rho
C.Gamma
D.Delta
答案
D
解析
Delta measures the change in an option's price as the price of the underlying asset changes. An option that has high intrinsic value and a short time to maturity will have a delta close to one, and a gamma, rho and vega all close to zero.Delta会随着基础资产价格的变化来衡量期权价格的变化。 具有高内在价值和较短到期时间的期权的delta值将接近于1，而gamma，rho和vega都将接近于零。