The effect on an option's value of a small change in the value of the underlying asset is called the option:
A)theta.
B)vega.
C)rho.
D)delta.
E)gamma.

Question

Quizplus · Accepted Answer

The effect on an option's value of a small change in the value of the underlying asset is called the option delta. Delta measures the rate of change in the option price for a given change in the underlying asset price.

The Effect on an Option's Value of a Small Change