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.
Correct Answer:
Verified
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