雞同學(xué)
2023-02-21 06:59如果題目問(wèn)的是Put option，答案就應(yīng)該是deep out of the money，因?yàn)閐elta絕對(duì)值趨近于1？
所屬：FRM Part I > Valuation and Risk Models 視頻位置 相關(guān)試題
來(lái)源： 視頻位置 相關(guān)試題
1個(gè)回答
Lucia助教
2023-02-21 11:16
該回答已被題主采納
同學(xué)你好，應(yīng)該是deep in the money的delta絕對(duì)值趨向于1
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追問(wèn)
我把自己弄混亂了，put在實(shí)值的時(shí)候delta絕對(duì)值也是1對(duì)嗎。。我暈了
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追答
A deep Out-of-The-Money call would have very little change in price as the underlying moves, hence the delta is 0.
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