好用工具: 不同時期價平選擇權的價格差比

sec2100

https://sixfigureinvesting.com/2 ... quare-root-of-time/

This relationship holds for ATM option prices too.  With the Black and Scholes model if an option due to expire in 30 days has a price of $1, then the 60 day option with the same strike price and implied volatility should be priced at sqrt (60/30) = $1 * 1.4142 = $1.4142  (assuming zero interest rates and no dividends).