Question: Although is generally negative, there are cases (typically of high interest rates) where it can be positive: An in-the-money put with a high
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
Step by Step Solution
★★★★★
3.40 Rating (150 Votes )
There are 3 Steps involved in it
1 Expert Approved Answer
Step: 1 Unlock
Question Has Been Solved by an Expert!
Get step-by-step solutions from verified subject matter experts
Step: 2 Unlock
Step: 3 Unlock
