x******a
发帖数: 6336 | 1 直观上怎么解释？美国的好解释一些
europe的呢？ |
z*g
发帖数: 110 | 2 when vol goes up, that means the underlying price may move more every day,
so there is more chance the price of the underlying may go further deep in
the money. Remember, when buying an option you are buying the "uncertainty".
imagine an extreme case, when vol=0, and your price is out of money, that means the price will stay there forever, and never more to in-the-money, thus option price=0. when you start to increase vol, there are more chance the price will go in the money. |
x******a
发帖数: 6336 | 3 zdg: thank you.
but the price has equal chance goes down. is it because the price of the
underlyings is not symmetry wrt \sigma? |
i*****r
发帖数: 1302 | 4 按错发到你邮箱了。。
你这样如何解释put价格也随vol增加而增加？
".
means the price will stay there forever, and never more to in-the-money,
thus option price=0. when you start to increase vol, there are more chance
the price will go in the money.
【在 z*g 的大作中提到】
: when vol goes up, that means the underlying price may move more every day,
: so there is more chance the price of the underlying may go further deep in
: the money. Remember, when buying an option you are buying the "uncertainty".
: imagine an extreme case, when vol=0, and your price is out of money, that means the price will stay there forever, and never more to in-the-money, thus option price=0. when you start to increase vol, there are more chance the price will go in the money.
|
A*****s
发帖数: 13748 | 5 put/call的价格都随vol增加，因为vol增加，就增加了exercise的可能性，也增加了
exercise的价值
【在 i*****r 的大作中提到】
: 按错发到你邮箱了。。
: 你这样如何解释put价格也随vol增加而增加？
:
: ".
: means the price will stay there forever, and never more to in-the-money,
: thus option price=0. when you start to increase vol, there are more chance
: the price will go in the money.
|
A*****s
发帖数: 13748 | 6 go down的那一边和你的call没关系啊，无论怎么down你的call都没价值，但是一旦up
了就不一样了
【在 x******a 的大作中提到】
: zdg: thank you.
: but the price has equal chance goes down. is it because the price of the
: underlyings is not symmetry wrt \sigma?
|
z*g
发帖数: 110 | 7 these call/put options have in-symmetric pay-off. When in the money, option
pays, when out of money, option pay 0.
So when vol increase, underlying price move more, more chance to in the
money, pay off linearly increase, also more chance to out of money, but out
of money is 0 payoff anyway. So, overall, the option price increase.
this applies to both call or puts.
【在 x******a 的大作中提到】
: zdg: thank you.
: but the price has equal chance goes down. is it because the price of the
: underlyings is not symmetry wrt \sigma?
|
x******a
发帖数: 6336 | 8 for Europe options，为什么vol增多会导致exercise的可能性增大？
【在 A*****s 的大作中提到】
: put/call的价格都随vol增加，因为vol增加，就增加了exercise的可能性，也增加了
: exercise的价值
|
A*****s
发帖数: 13748 | 9 vol大说明更容易远离drift的轨迹，也就更容易落入exercise band
【在 x******a 的大作中提到】
: for Europe options，为什么vol增多会导致exercise的可能性增大？
|
a**n
发帖数: 3801 | 10 因为option payoff是convex的
然后用jensen's inequality
【在 x******a 的大作中提到】
: 直观上怎么解释？美国的好解释一些
: europe的呢？
|
|
|
x******a
发帖数: 6336 | 11 thank you zdg. I get a part of the answer.
but I don't understand when the vol increase, the chances to be both out of
money and in the money increase since I think they sum to 1 assuming GBM of
the underlying. What do you think?
option
out
【在 z*g 的大作中提到】
: these call/put options have in-symmetric pay-off. When in the money, option
: pays, when out of money, option pay 0.
: So when vol increase, underlying price move more, more chance to in the
: money, pay off linearly increase, also more chance to out of money, but out
: of money is 0 payoff anyway. So, overall, the option price increase.
: this applies to both call or puts.
|
u***************r
发帖数: 11227 | |
z*g
发帖数: 110 | 13 you are looking at a price distribution.
option price is an integral of the term:
Probability(price=x) * payoff(price=x)
assume x is far from the current spot price. when vol=0,
Probability(price=x)=0
when vol increase, probability increase.
of course the sum of all probability=1, because it is a distribution. |
x******a
发帖数: 6336 | 14 zdg: thank you now I understand. |
s*******0
发帖数: 3461 | 15 这个貌似很基本吧 cfa1级 去考一下 呵呵 好多 这样的题 |
