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书上说一般情况下call、put option的THETA是小于零的,但个别情况下,put option value may increase as the option approaches maturity if the option is deep in the money and close to maturity.

请问是为什么?能不能形象的解释一下?

跪谢!!!

robertruc
As far as I know, this conclusion is based on the B-S formula.  It is ture when K>>S and T approaches 0.  It is easy to verity using the formula but difficult to explain in words.

回答于 2007/04/01 00:00

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