郭同學(xué)
2018-12-11 16:55“Delta measures the sensitivity of an option to the price of the underlying security and ranges from –0.5 to +0.5. Gamma is a second-order effect that measures the sensitivity of delta to price changes in the underlying. Vega is a first-order effect that measures the change in an option’s volatility relative to the change in price of the underlying.” Q. Which option sensitivity measure does Woolridge most accurately describe? Vega Delta Gamma 請老師講解一下，答案我錯選了vega
所屬：CFA Level II > Portfolio 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
2018-12-11 17:38
該回答已被題主采納
同學(xué)你好，
DELTA的表述是錯的，因為他的范圍是-1到+1，其中call是從0到+1，put是從-1到0
GAMMA的表述應(yīng)該是對的
VEGA是資產(chǎn)價格的波動率對期權(quán)價格的影響，而不是資產(chǎn)價格的變動對波動率的影響
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