作者newmood (^_^)
看板CFAiafeFSA
标题[请益] 请教一个选择权的问题?
时间Sun Oct 8 10:11:40 2006
请教一下关於这一个选择权的问题
麻烦各位高手解个惑
感激不尽!!
谢谢
The absolute values of the sensitivities of the following options
to the Black-Scholes pricing model inputs follow:
Nov 1230
Call Put
Delta 0.5375 0.46015
Theta 90.46665 64.83858
Gamma 0.008038
Vega 173.0402
Rho 80.63679 73.59743
Nov 1235
Call Put
Delta 0.49679 0.500818
Theta 88.1067 62.27964
Gamma 0.008267
Vega 173.8587
Rho 74.70194 80.15926
Dec 1230
Call Put
Delta 0.54349 0.452613
Theta 77.32361 51.81568
Gamma 0.005883
Vega 220.2148
Rho 131.3383 119.3327
a.Identify a net-long multiple option strategy designed to exploit time decay.
b. Compute the net sensitivities of the position
and briefly summarize the conditions under which
your position will benefit.
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