Which of the following statements is incorrect? A. The vega of a European call option is highest...
Question:
Which of the following statements is incorrect?
A. The vega of a European call option is highest when the option is at-the-money.
B. The delta of a European-styled put option on an underlying stock moves toward zero as the price of the underlying stock rises.
C. The gamma of an at-the-money European-styled option tends to increase as the remaining maturity of the option decreases.
D. Compared to an at-the-money European-styled call option, an out-of-the-money European-styled option with the same strike price and remaining maturity has a greater negative value for theta.
European Call-Put Option:
European call and put options are the contracts that can be executed on the maturity date only. There are various types such as delta, gamma, Vega & theta as per its volatile attributes resulting in different outcomes and sensitivity.
Answer and Explanation: 1
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View this answerCorrect Option: B .
Explanation for the correct answer:
The delta of a European styled option actually rises and does not move towards zero when the...
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Options Basics: Stocks, Payoffs & Puts & Calls
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Chapter 13 / Lesson 1
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Financial options are derivatives, which means their value is tied to something else: for example, a share of stock. Learn about stocks, options, options contracts, and other financial instruments.
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