王同学2019-01-24 15:31:51

You have a long position in a digital call option -- an option that is also called cash-or-nothing -- on shares in Global Enterprises. The digital call has a strike price of USD 20 with one year remaining to expiration. Assume that the shares currently trade at USD 22 and annual return volatility of Global Enterprises shares is 15%. Which of the following sensitivities would be associated with this option? Ⅰ Delta is positive. Ⅱ Gamma is positive. Ⅲ Vega is negative. Ⅳ Vega is positive. Which statements are true? A. Ⅰ and Ⅲ B. Ⅳ only C. Ⅰ,Ⅱ and Ⅳ D. Ⅱ and Ⅲ 完全不会，请详细讲解，谢谢老师