题目
Which of the following portfolios would have the highest vega assuming all options involved are of the same strikes and maturities?
选项
A.Long a call
B.Short a put
C.Long a put and long a call
D.A short of the underlying, a short in a put, and a long in a call
答案
C
解析
A and B are standard call/put, C is a straddle, D is a collar. A collar limits exposure to volatility, while a straddle increases this exposure. vega is the sensitivity of a portfolio to volatility.A和B是标准买入/卖出，C是跨式期权，D是collar。 collar限制了波动性，而straddle则增加了这种波动性。 vega是投资组合对波动的敏感性。