Although is generally negative, there are cases (typically of high interest rates) where it can be

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Although θ is generally negative, there are cases (typically of high interest rates) where it can be positive, including:

An in-the-money put with a high interest rate An in-the-money call on a currency that has a high interest rate (or—equivalently—an in-themoney call on a stock with a very high dividend payout rate)

Find two examples.

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Financial Modeling

ISBN: 9780253337825

5th Edition

Authors: Simon Benninga, Tal Mofkadi

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