What does gamma measure?
A) The rate of change of delta with the asset price
B) The rate of change of the portfolio value with the passage of time
C) The sensitivity of a portfolio value to interest rate changes
D) None of the above

Name: What does gamma measure? A) The rate of change of delta with the asset price B) The rate of change of the portfolio value with the passage of time C) The sensitivity of a portfolio value to interest rate changes D) None of the above
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Question

Quizplus · Accepted Answer

The Answer is A

What Does Gamma Measure