Delta is defined as
A) the change in the value of an option for a dollar change in the price of the underlying asset.
B) the change in the value of the underlying asset for a dollar change in the call price.
C) the percentage change in the value of an option for a 1% change in the value of the underlying asset.
D) the change in the volatility of the underlying stock price.
E) None of the options are correct.

Question

Quizplus · Accepted Answer

Delta is a measure of the sensitivity of an option's price to a change in the price of the underlying asset. It represents the change in the option's price for a one-dollar change in the price of the underlying asset.

Delta Is Defined as