题目
Which of the following statements is correct? I The rho of a call option changes with the passage of time and tends to approach zero as expiration approaches, but this is not true for the rho of put options. II Theta is always negative for long calls and long puts and positive for short calls and short puts.
选项
A.I only.
B.II only
C.I and II
D.Neither
答案
D
解析
Statement I is false – rho of a call and a put will change, with expiration of time and it tends to approach zero as expiration approaches.Statement II is false-theta is positive for long ITM European put.陈述I是假的，看涨期权和看跌期权的rho会随着时间的到期而变化，到期时趋于零。表述二为假- - -对于长期ITM欧式put为正。