Question

Which of the following measures is used to measure the sensitivity of the option’s price to changes in the volatility of the underlying stock?

A Rho Correct Answer Incorrect Answer
B Theta Correct Answer Incorrect Answer
C Gamma Correct Answer Incorrect Answer
D Delta Correct Answer Incorrect Answer
E Vega Correct Answer Incorrect Answer

Solution

Stock options are affected by Greeks like delta, theta, gamma. Vega is not actually a Greek but we call Vega one of the ‘’Greeks’’ in option pricing. It measures the sensitivity of the option’s price to changes in the volatility of the underlying stock

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