Which of the following statements is correct? A) The gamma of a long position in a European option takes the highest value for deep in-the-money options. B) The delta of a short position in a European put is between -1 and 0. C) The delta of a long position in a deep in-the-money European put is close to zero. D) The gamma and the vega of a long position in a European put are positive.Please explain and justify your choice.

Delta refers to the concept which evaluated the degree to which an option is revealed to the price…

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FINANCIAL ACCOUNTING

10th Edition

ISBN:9781259964947

Author:Libby

Publisher:Libby

Chapter1: Financial Statements And Business Decisions

Section: Chapter Questions

Problem 1Q

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Which of the following statements is correct?

		A) The gamma of a long position in a European option takes the highest value for deep in-the-money options.
		B) The delta of a short position in a European put is between -1 and 0.
		C) The delta of a long position in a deep in-the-money European put is close to zero.
		D) The gamma and the vega of a long position in a European put are positive.

Please explain and justify your choice.

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