NO.PZ2018062007000041
问题如下：
Which of following statements is most likely correct? Assume two options on the same underlying.
选项：
A.
For two European call options with the same exercise price, the one with a longer time to maturity has lower value.
B.
For two European call options with the same exercise price, the one with a longer time to maturity has higher value.
C.
For two European call options with the same time to maturity, the one with a higher exercise price has higher value.
解释：
B is correct.
The value of European call option is positively correlated with time to maturity and negatively correlated with exercise price.
中文解析：
欧式看涨期权的价值与到期时间正相关，因此B对，A错
欧式看涨期权的价值与执行价格负相关，C错。
欧式期权随行权期延长可能价值上升或者下降，为什么能确定一定越长越贵
