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).
No.PZ2023041003000056 (选择题)
来源: 经典题
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?
您的回答B, 正确答案是: A
A
No, he is incorrect about the gamma measure
B
不正确No, he is incorrect about the delta measure
C
Yes
in the money, time to expiration 变短的时候，convexity会变大啊，跟自己比，gamma随时间变大没毛病啊。我感觉并不是在说in the money gamma最大
