a**m 发帖数: 102 | 1 zhou xinfeng的书说(page 155):deep-in-the-money put option with no dividends will have positive theta. That's also the reason why it can be
optimal to exercise a deep in-the-money American put before maturity.
后面一句没明白,既然theta是正的,option会升值,为什么要提前exercise? |
l*****i 发帖数: 3929 | 2 有可能得到更多的interest啊
dividends will have positive theta. That's also the reason why it can be
【在 a**m 的大作中提到】![](/moin_static193/solenoid/img/up.png) : zhou xinfeng的书说(page 155):deep-in-the-money put option with no dividends will have positive theta. That's also the reason why it can be : optimal to exercise a deep in-the-money American put before maturity. : 后面一句没明白,既然theta是正的,option会升值,为什么要提前exercise?
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a**m 发帖数: 102 | 3 是有可能,但看书上这句话的意思是从theta是正的就可以推出该提前exercise了?
【在 l*****i 的大作中提到】![](/moin_static193/solenoid/img/up.png) : 有可能得到更多的interest啊 : : dividends will have positive theta. That's also the reason why it can be
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l*****i 发帖数: 3929 | 4 当然不一定
【在 a**m 的大作中提到】![](/moin_static193/solenoid/img/up.png) : 是有可能,但看书上这句话的意思是从theta是正的就可以推出该提前exercise了?
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a**m 发帖数: 102 | 5 但实际情况好像就是这样的,你可以算算该提前exercise的场合下,theta就是正的。
【在 l*****i 的大作中提到】![](/moin_static193/solenoid/img/up.png) : 当然不一定
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l*****i 发帖数: 3929 | 6 但是是不是“只要theta>0就一定early exercise”?
【在 a**m 的大作中提到】![](/moin_static193/solenoid/img/up.png) : 但实际情况好像就是这样的,你可以算算该提前exercise的场合下,theta就是正的。
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a**m 发帖数: 102 | 7 不知道,但书上说的啥意思呢?至少这两者有关系?
【在 l*****i 的大作中提到】![](/moin_static193/solenoid/img/up.png) : 但是是不是“只要theta>0就一定early exercise”?
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l*****i 发帖数: 3929 | 8 就是有可能,不一定的意思啊
【在 a**m 的大作中提到】![](/moin_static193/solenoid/img/up.png) : 不知道,但书上说的啥意思呢?至少这两者有关系?
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a**m 发帖数: 102 | 9 怎么推出有可能的?或者说如果theta一直是负的(european call的情况),为什么能推
出(或者说怎么关联着)永远别提早exercise呢?
【在 l*****i 的大作中提到】![](/moin_static193/solenoid/img/up.png) : 就是有可能,不一定的意思啊
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l*****i 发帖数: 3929 | 10 你已经有点逻辑混乱了... european call当然不能early exercise. "It can be opti
mal"什么意思知道吗?
能推
【在 a**m 的大作中提到】![](/moin_static193/solenoid/img/up.png) : 怎么推出有可能的?或者说如果theta一直是负的(european call的情况),为什么能推 : 出(或者说怎么关联着)永远别提早exercise呢?
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d*j 发帖数: 13780 | 11 好像 deep in the money european call
theta 也可能是正的?
看看 heard on the street
是因为越到后来, optionality 越小, 对这个call越好
能推
【在 a**m 的大作中提到】![](/moin_static193/solenoid/img/up.png) : 怎么推出有可能的?或者说如果theta一直是负的(european call的情况),为什么能推 : 出(或者说怎么关联着)永远别提早exercise呢?
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a**m 发帖数: 102 | 12 我的意思是american call....
opti
【在 l*****i 的大作中提到】![](/moin_static193/solenoid/img/up.png) : 你已经有点逻辑混乱了... european call当然不能early exercise. "It can be opti : mal"什么意思知道吗? : : 能推
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s*******s 发帖数: 1568 | 13 there is no contradiction. The theta is positive for euro put option, which
imply the option price will increase
when excise. the final excise of euro put option is equivalent to early
excise of america option. Thus it is
optimal to early excise the america option. theta of euro and american
option is different.
dividends will have positive theta.
That's also the reason why it can be
【在 a**m 的大作中提到】![](/moin_static193/solenoid/img/up.png) : zhou xinfeng的书说(page 155):deep-in-the-money put option with no dividends will have positive theta. That's also the reason why it can be : optimal to exercise a deep in-the-money American put before maturity. : 后面一句没明白,既然theta是正的,option会升值,为什么要提前exercise?
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a**m 发帖数: 102 | 14 Thanks a lot, swordmans.
which
【在 s*******s 的大作中提到】![](/moin_static193/solenoid/img/up.png) : there is no contradiction. The theta is positive for euro put option, which : imply the option price will increase : when excise. the final excise of euro put option is equivalent to early : excise of america option. Thus it is : optimal to early excise the america option. theta of euro and american : option is different. : : dividends will have positive theta. : That's also the reason why it can be
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T******r 发帖数: 257 | 15 这是不确切的,正theta不是原因,真正根本原因是underlying的正drift.
正theta和optimal to exercise都是正drift(和put的payoff)的结果.
dividends will have positive theta. That's also the reason why it can be
【在 a**m 的大作中提到】![](/moin_static193/solenoid/img/up.png) : zhou xinfeng的书说(page 155):deep-in-the-money put option with no dividends will have positive theta. That's also the reason why it can be : optimal to exercise a deep in-the-money American put before maturity. : 后面一句没明白,既然theta是正的,option会升值,为什么要提前exercise?
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n****e 发帖数: 629 | 16 以俺的浅见,认为是这个意思:
american put options的pdf是分段函数,在optimal exercising point处,c_{xx}是
不连续的。所以c_t在optimal exercising point也是不连续的。
common sense告诉我们,theta肯定得是负的;那么如果你得到正的theta,说明你的
pricing formula已经失效了。这个时候就是below optimal exercising point了。所
以要提前exercise。
dividends will have positive theta. That's also the reason why it can be
【在 a**m 的大作中提到】![](/moin_static193/solenoid/img/up.png) : zhou xinfeng的书说(page 155):deep-in-the-money put option with no dividends will have positive theta. That's also the reason why it can be : optimal to exercise a deep in-the-money American put before maturity. : 后面一句没明白,既然theta是正的,option会升值,为什么要提前exercise?
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n****e 发帖数: 629 | 17 顺便问一句,zhou的书和joshi的/crack的比起来,有没有特长之处?考虑是不是买一
本……
dividends will have positive theta. That's also the reason why it can be
【在 a**m 的大作中提到】![](/moin_static193/solenoid/img/up.png) : zhou xinfeng的书说(page 155):deep-in-the-money put option with no dividends will have positive theta. That's also the reason why it can be : optimal to exercise a deep in-the-money American put before maturity. : 后面一句没明白,既然theta是正的,option会升值,为什么要提前exercise?
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a**m 发帖数: 102 | 18 我也就刚买,都没好好看。感觉就是讲的比较平易近人一些。
【在 n****e 的大作中提到】![](/moin_static193/solenoid/img/up.png) : 顺便问一句,zhou的书和joshi的/crack的比起来,有没有特长之处?考虑是不是买一 : 本…… : : dividends will have positive theta. That's also the reason why it can be
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a**********2 发帖数: 355 | 19 that's not the reason//
他写的有歧义.
dividends will have positive theta. That's also the reason why it can be
【在 a**m 的大作中提到】![](/moin_static193/solenoid/img/up.png) : zhou xinfeng的书说(page 155):deep-in-the-money put option with no dividends will have positive theta. That's also the reason why it can be : optimal to exercise a deep in-the-money American put before maturity. : 后面一句没明白,既然theta是正的,option会升值,为什么要提前exercise?
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