NO.PZ2023041003000056
问题如下：
Toye asks Malarkey to
provide insight on the relationship between the price of a Lipton call option
and the underlying stock. Malarkey states that for any equity call option,
delta will be approximately 1.0 and gamma will tend to be large whenever the
option is in the money as it nears maturity.
Are Malarkey’s
explanations of delta and gamma for in-the-money call options most likely
correct?
选项：
A.No, he is incorrect about the gamma measure
No, he is incorrect about the delta measure
Yes
解释：
Gamma is a measure
of the sensitivity of delta to a change in the stock price. Gamma is largest for options that are at the
money near maturity because of the uncertainty about whether the option will
expire (1) in the money (delta is 1.0) or (2) out of the money (delta is 0.0).
这题有关delta的结论我明白，有关gemma的部分不理解
