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
回答于 2007/04/01 00:00
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.