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READING 56: THE BLACK-SCHOLES-MERTON MODEL #66

Open Grefer opened 4 years ago

Grefer commented 4 years ago

https://www.melonsblog.cn/2020/02/reading-56-black-scholes-merton-model.html#more

Grefer commented 4 years ago

An expected dividend during the term of an option will decrease the value of a call option.

Grefer commented 4 years ago

The highest gamma is observed in shorter maturity and at-themoney options, since options with these characteristics are much more sensitive to changes in the underlying asset price.

Grefer commented 4 years ago

The call option is deep in-the-money and must have a delta close to one. The put option is deep out-of-the-money and must have a delta close to zero. Therefore, when the underlying stock falls by USD 1, the value of the deep in-the-money call will decrease by close to USD 1, and the value of the deep out-of-the-money put will increase by an amount very close to zero.