来自：FRM > 一级 > 电脑版 > Unit 15.BSM模型 2020-11-06 20:48
请问这道题怎么理解呢，不应该是call下降很多，put的价值上升很多吗
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liuxuyao 2020-11-07 09:05
致精进的你:
同学，The call option is deep in-the-money and must have a delta close to one. The put option is deep out-of-the-money and will have a delta close to zero. Therefore, the value of the in-the-money call will decrease by close to USD 1, and the value of the out-of-the-money put will increase by a much smaller amount close to 0. The choice that is closest to satisfying both conditions is A.
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