Double No-Touch 的 vega
Say about the Vega
题目详情
Suppose an option pays one if spot stays in a range to and zero otherwise. What can we say about the Vega?
解析
Double No-Touch（DNT）要求在到期前不触及任一障碍。波动率上升会提高触障概率、降低存活概率，因此价格下降。
Say about the Vega
Suppose an option pays one if spot stays in a range to and zero otherwise. What can we say about the Vega?
Double No-Touch（DNT）要求在到期前不触及任一障碍。波动率上升会提高触障概率、降低存活概率，因此价格下降。