t*******y
发帖数: 637 | 1 an at-the-money option, expires in a month. If volatility increases, how
does the probability that the option will end in-the-money change?
这个是直接看n(d2)对sigma求导数的结果吗？ |
d*j
发帖数: 13780 | 2 increase?
volatility increases -> option value increases -- implies the probability
that the option will end in-the-money increases |
l***u
发帖数: 91 | 3 it depends on what model. if log normal, because of the fat tail of the
distribution, the probability decreases.
The extreme case is if the vol goes infinity, the price for any digital
option
(equivalent to probability end in the money) will be zero for any strike.
If the model is normal, I guess it's almost unchanged if ATM.
【在 t*******y 的大作中提到】
: an at-the-money option, expires in a month. If volatility increases, how
: does the probability that the option will end in-the-money change?
: 这个是直接看n(d2)对sigma求导数的结果吗？
|
l***u
发帖数: 91 | 4 wrong.....
【在 d*j 的大作中提到】
: increase?
: volatility increases -> option value increases -- implies the probability
: that the option will end in-the-money increases
|
p*******t
发帖数: 213 | 5 depends on skew. not vol. |
p*******t
发帖数: 213 | 6 depends on skew. not vol. |
