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:

• 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-the-money call on a stock with a very high dividend payout rate).

Find two examples

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Related Book For  book-img-for-question

Financial Modeling

ISBN: 9780262026284

3rd Edition

Authors: Simon Benninga

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