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δع¶ > ΪʲôƽֵȨʱֵ

ΪʲôƽֵȨʱֵ

YuenwanLawĻش(10Ʊ):

л

1. Time Value = Total Option Value - Intrinsic Value.

At the money optionںֵΪ0time value

2. time valueǵʱ䣨T-t

ֱ۵ĽʱֵȨֵп۳ںֵDzֵּʵȨյһʡۡȨɽԽǻԾȨԽҪġۡԽߣȻʱ䲻£ʲôʱȨɽԾat the moneyʱ

YuenwanLawĻش(5Ʊ):

ƣҪġ

optionpremiumÿֺǺǵߣϵoptionͬʱҲԽԽֵǮ

˵ģ

Ϊ0

BS-PDEΪ

ʱֵָľұߵIJ֡

ߵIJ

Ϊ

,dSСĻ

ʱʱdecay

trading implication:

1. ڸGammadelta仯ٶȱȽϿ죬סposition

2. ڸGammaҪthetaǮ

ؕĻش(10Ʊ):

...ðɡѧƵһ¾ͳֻϸͼۡBTWɣ

νʱֵTime Value)Ȩ۸ȨֵIntrinsic Value֮IJνʱֵTime Value)Ȩ۸ȨֵIntrinsic Value֮IJ

Call Option(Ȩۣ֮PutͬĵȨ溯(payoff function)һڹƱ۸ΪʲôڴнҵĹʽԿѾʣʣʱԼȨdz˵IJҪֻڷ۶ѡ

ˣҰ湫ʽд

ʱֵΪ㣬ʱҶԵʽҶ

󵼾͵õ

ʱʽұ߲ȨDeltaһȨDeltaǷǸģDeltaС1ڴнͣ

ʱʱȨ۱

˲ٶԵʽ󵼵õ

Ҹһ

֮ȨʱֵȨֵʱ(Out of Money)ʱŹɼӶӣȨʵֵʱ(In the Money)ʱȨʱֵɼӶС..ʱֵȨƽֵAt the Money)ʱﵽֵ

һϽЩ...пȨ(Put)ͺˡ

ΪʲôDeltaľֵܳ1

Ȩ۹ʽȥDeltaС1ͬԴֱΪʲôΪȨиܸܰΪǷԵİð˵ͨ׵㣬㿴ͼȨ溯Ҳֵߣ;0֮ڹƱ˵ʧȷˡDeltaʾȨ۸ڹƱ۸ı䶯ʣȨֵķԣƱ۸䶯ʱȨ۸ı䶯ҪСڹƱ۸

ΪʲôҪȨ溯(payoff function)һڹƱ۸

ʱ򣬱˵Digital Option,DzڵģʱDeltaͲپֵС1ˣΪʱDeltaûжġ

ԶĻش(3Ʊ):

ͬ@Ŷ

ģνУͶԽGammaat the moneyʱ

YujiaChangĻش(1Ʊ):

һ»ȻĿȫһǴﶼ˽͵ġzhihu.com/question/2977

̶Ļش(5Ʊ):

֮ǰֻдݲȫʾ֪ڵдһ顣

@Ŷ ȷĶ壺Time Value = Option Value - Intrinsic ValueѧǶȽһΪʲôڱļ۸ S = ִм۸ K ʱ

time valueSı仯ʣ d(Time Value) / dS = d(Option Value) / dS - d(Intrinsic Value) / dS

B/Sʽ d(Option Value) / dSDelta N(d1)һ0С1ֵ0 d(Option Value) / dS 1.

һIntrinsic Value = max (S - K, 0). S Kʱd(Intrinsic Value) / dS = 1. S Kʱd(Intrinsic Value) / dS = 0.

Ͽ֪ d(Time Value) / dS 0 when S K, d(Time Value) / dS 0 when S K£Time ValueS = Kʱ

һĻش(1Ʊ):

ʱֵҪȡأ

A ʲ۸IJԣͨ۸񲨶ԽңDZԽ

B ںֵָȨֽ0ֵmax(S-k0or max(K-s,0)

C ʣȨգһԽ̣ʱֵԽС

Time value+intrinsic value = option value ֻȨֵĹɲ֣Ľʱֵ͵Ȩֵȥںֵδ̫lowʱֵԴʲô

ʱֵĶڱʲ۸IJԶȨߴDZĿԡ

һҪԤ֪ʶȨͿIJԳԡ

һǹƱڻȻڹߣǵǶԳƵģ˵ĿԺ׬ĿһȨijڽȨͷʱȨѣ͸ڵǷʹȨȨʹȨֲȨѣ׬ȻʹʹȨӿԷһȨʹôȨͷ޵ģȷ޵ġ

ˣԸΪ˼۸IJ֧ȨѣΪ۸񲨶ڱף

ƽֵȨ˼ָȨ۸ֻ۸һġͱʹȨͲʹȨĽͬģʧȨѣS=Kʱ۸񲨶һǿȨͷôS󣬻ʹĿ٣ӯSͣͿԷȨʱ㻹ֻʧȨѡ

ͱƽֵȨУֻлܣʧܡˣȨ෽Ը⻨Ȩѣȡʲ۸䶯ĺôʱʱֵġ

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