e****d
发帖数: 333 | 1 theta 没有 dividend 是negative的，是不是说option的价格就随时间减少？那越早
exercise 越好了？这是不是和不早exercise矛盾？还是因为两个说法的前提假设不同
？ | A*******u
发帖数: 66 | 2 call option的价格随时间减少，你应该转手卖掉，而不是exercise. 不矛盾。
【在 e****d 的大作中提到】
: theta 没有 dividend 是negative的，是不是说option的价格就随时间减少？那越早
: exercise 越好了？这是不是和不早exercise矛盾？还是因为两个说法的前提假设不同
: ？
| Q***5
发帖数: 994 | 3 But then, a reasonable buyer will realize this and will not buy it unless
it is priced below the value indicated by BS formula.
theta is the partial derivative of the option price with respect to time,
that is, it consider how the price change as time passes, holding other
factors constant. But in reality, other factors (especially the underline)
is NOT constant. By Ito's formula, you also need to add the term: 1/2*f_{ss}
(t,s)*sigma^2 dt, and you should end up with r fdt -- even there, we are
【在 A*******u 的大作中提到】
: call option的价格随时间减少，你应该转手卖掉，而不是exercise. 不矛盾。
| c****2
发帖数: 31 | 4 For Call option without dividend, theta < 0
For Call option with dividend, theta could be positive
For Put option, if it is deep in the money, theta > 0. In this case, early
exercise is preferred | e****d
发帖数: 333 | 5 theta>0为甚要early exercise 呢？不是时间越长价值越高？这个怎么理解呢？谢谢了。
【在 c****2 的大作中提到】
: For Call option without dividend, theta < 0
: For Call option with dividend, theta could be positive
: For Put option, if it is deep in the money, theta > 0. In this case, early
: exercise is preferred
| l*******r
发帖数: 3799 | 6 theta represents the time premium. Of course it will drop as approaching to
the expiration day.
了。
【在 e****d 的大作中提到】
: theta>0为甚要early exercise 呢？不是时间越长价值越高？这个怎么理解呢？谢谢了。
| p*****k
发帖数: 318 | 7 theta only reflects the time value of the option, one needs to
consider the other part: moneyness, i.e., either in the money (ITM), ATM or
OTM (in QL365's words, the option value also depends on s).
one interesting question is for (exotic) american options, whether
the early exercise region could be determined by some criteria on
theta. this seems generally not true, but i remember seeing some
paper using this as a good approximation. |
|
