Consider options written on a non-dividend-paying stock. Deep in-the-money put options may
A) Have negative gamma and positive theta if they are European in style.
B) Have negative gamma and negative theta if they are American in style.
C) Have positive gamma and positive theta if they are European in style.
D) Have positive gamma and positive theta if they are American in style.

Question

Quizplus · Accepted Answer

The Answer of Consider options written on a non-dividend-paying stock. Deep in-the-money put options may
A) Have negative gamma and positive theta if they are European in style.
B) Have negative gamma and negative theta if they are American in style.
C) Have positive gamma and positive theta if they are European in style.
D) Have positive gamma and positive theta if they are American in style.

Consider Options Written on a Non-Dividend-Paying Stock