王同學
2019-01-24 15:31You have a long position in a digital call option -- an option that is also called cash-or-nothing -- on shares in Global Enterprises. The digital call has a strike price of USD 20 with one year remaining to expiration. Assume that the shares currently trade at USD 22 and annual return volatility of Global Enterprises shares is 15%. Which of the following sensitivities would be associated with this option? Ⅰ Delta is positive. Ⅱ Gamma is positive. Ⅲ Vega is negative. Ⅳ Vega is positive. Which statements are true? A. Ⅰ and Ⅲ B. Ⅳ only C. Ⅰ,Ⅱ and Ⅳ D. Ⅱ and Ⅲ 完全不會,請詳細講解,謝謝老師
所屬:FRM Part I 視頻位置 相關試題
來源: 視頻位置 相關試題
1個回答
Galina助教
2019-01-24 17:40
該回答已被題主采納
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追問
感謝梁老師,解答很給力。其他的部分都能理解,但是關于gamma與S、K的方向關系還是不太理解。依據(jù)gamma的圖形,對于gamma的大小方向理解正好相反,麻煩老師再具體講解下,謝謝。
