The double diagonal is a delta-neutral trade and makes its money through its positive theta, or time decay, similar to the double calendar spread. The double diagonal is also a positive Vega spread, but not nearly so large a positive Vega as we have with the double calendar. So decreases...
Calendar spread option volume has been... S Juheon,BB Wade,N Bart - 《Agricultural Finance Review》 被引量: 0发表: 2018年 Calendar spread options for storable commodities. Previous studies provide pricing models of options on futures spreads. However, none fully reflect the economic reality ...