The change in the value of an option for a small unit change in the price of the underlying security is called the:
A)alpha of an option
B)gamma of an option
C)beta of an option
D)delta of an option

Question

Quizplus · Accepted Answer

The change in the value of an option for a small unit change in the price of the underlying security is called the delta of an option. The delta measures the sensitivity of an option's value to changes in the price of the underlying asset. The other choices, alpha, beta, and gamma, are not used to measure this sensitivity.

The Change in the Value of an Option for a Small