With all other variables being equal (the same excerise price, underlying asset, implied volatility, interest rate, etc.), an at-the-money option with 30 days to expiration will tpyically have a gamma that is higher than an at-the-moeny option with 180 days to expiration (hint: think of the different shapes of the associated probability distribution and the change in delta) True or False?
With all other variables being equal (the same excerise price, underlying asset, implied volatility, interest rate, etc.), an at-the-money option with 30 days to expiration will tpyically have a gamma that is higher than an at-the-moeny option with 180 days to expiration (hint: think of the different shapes of the associated probability distribution and the change in delta) True or False?
Intermediate Financial Management (MindTap Course List)
13th Edition
ISBN:9781337395083
Author:Eugene F. Brigham, Phillip R. Daves
Publisher:Eugene F. Brigham, Phillip R. Daves
Chapter5: Financial Options
Section: Chapter Questions
Problem 5P
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With all other variables being equal (the same excerise price, underlying asset, implied volatility, interest rate, etc.), an at-the-money option with 30 days to expiration will tpyically have a gamma that is higher than an at-the-moeny option with 180 days to expiration (hint: think of the different shapes of the associated probability distribution and the change in delta)
True or False?
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