1
vote
Accepted
Why do ATM options intuitively have higher Time Value (Extrinsic Value) than Out- and In-The-Money options?
For an OTM option, time value represents the likelihood that the option ends up in-the-money, increasing its value over its current "intrinsic" value of zero.
For an ITM option, time value ...
Only top scored, non community-wiki answers of a minimum length are eligible
Related Tags
statistical-finance × 182statistics × 49
finance-mathematics × 35
finance × 20
quant-trading-strategies × 19
time-series × 16
portfolio-optimization × 12
programming × 10
econometrics × 10
financial-engineering × 10
regression × 9
equities × 7
correlation × 7
returns × 6
quants × 6
volatility × 5
black-scholes × 5
arbitrage × 5
probability × 5
value-at-risk × 5
fama-french × 5
asset-returns × 5
statistical-significance × 5
stochastic-processes × 4
stochastic-calculus × 4