Question #3
Reading: Reading 31 Valuation of Contingent Claims
PDF File: Reading 31 Valuation of Contingent Claims.pdf
Page: 1
Status: Unattempted
Correct Answer: A
Question
How is the gamma of an option defined? Gamma is the change in the:
Answer Choices:
A. delta as the price of the underlying security changes
B. vega as the option price changes
C. option price as the underlying security changes
Explanation
Gamma is the rate of change in delta. It measures how fast the price sensitivity changes as
the underlying asset price changes.