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Which of the Following Statements Is INCORRECT

Question 12

Multiple Choice

Which of the following statements is INCORRECT?


A) An option's delta measures the change in the option's value when there is a small change in the underlying stock price.
B) The delta of a call option lies between 0 and 1.
C) The delta of a put option lies between -1 and 0.
D) An option's gamma is the change in the option's delta when there is a small change in the underlying stock price.
E) The gamma for otherwise identical European put and call options on the same stock are different.

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