题目
Which of the following statements is false?
选项
A.European-styled call and put options are most affected by changes in vega when they are at-the-money.
B.The delta of a European-styled put option on an underlying stock would move towards zero as the price of the underlying stock rises.
C.The gamma of an at-the-money European-styled option tends to increase as the remaining maturity of the option decreases.
D.Compared to an at-the-money European-styled call option, an out-of-the-money European option with the same strike price and remaining maturity would have a greater negative value for theta.
答案
D
解析
Vega is highest for at-the-money options.The delta for a European put option is negative, and delta moves towards zero, as the price of the underlying stock increases.Gamma increases as the time to maturity decreases.Theta is large and negative for an at-the-money European-styled option, while theta is close to zero when the price for the underlying stock is very low. Therefore the theta for an out-of-the-money European styled call option would have a lower negative value compared to that of an at-the-money European-styled call option.Vega是性价比最高的选择。欧洲看跌期权的差额为负，并且随着基础股票价格的上涨，差额接近零。伽玛值随着成熟时间的减少而增加。Theta很大，对于平价的欧式期权来说是负数，而当基础股票的价格非常低时，theta接近于零。 因此，与平价欧洲风格看涨期权相比，价外欧式看涨期权的theta负值更低。