袁同學(xué)
2020-09-01 10:08put 的價格是在資產(chǎn)價格變高、還是變低的時候，put 的價格會更高？ or put option, the delta will underestimate the price effect of decrease in the underlying equity and will overestimate the price effect of increase in the underlying equity. this is due to the convex relationship between put option prices and the price of the underlying equity .this can be addressed by adjusting the put option price for the effect of gamma,which is analogous to the convexity adjustment of a bonds’ price. 這段話應(yīng)該怎么理解？
所屬：CFA Level III > Derivatives and Currency Management 視頻位置 相關(guān)試題
來源： 視頻位置 相關(guān)試題
1個回答
Chris Lan助教
2020-09-01 10:26
該回答已被題主采納
同學(xué)你好
put是在標(biāo)的資產(chǎn)價格越低的時候，越有可能行權(quán)，所以是資產(chǎn)價格變低，put的價值越高。
另外這句英文的意思就是二階導(dǎo)數(shù)的意思，標(biāo)的資產(chǎn)價格變動，帶來put option的價格變動有漲多跌少的效果，這就是gamma的含義。
對于option的gamma的含義與bond與convexity的含義是一樣的，都是漲多跌少的意思。
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