长短期限：哪一个 gamma 更高
Long short maturity
题目详情
Two standard options have exactly the same features, except that one has long maturity, and the other has short maturity. Which one has the higher gamma?
解析
vanilla 期权
在平值附近 近似常数，因此
Long short maturity
Two standard options have exactly the same features, except that one has long maturity, and the other has short maturity. Which one has the higher gamma?
vanilla 期权
在平值附近 近似常数，因此