Which of the "Greeks" measures the change in option value with a change in volatility of the underlying asset?
A) Delta
B) Theta
C) Gamma
D) Vega

Question

Quizplus · Accepted Answer

Vega measures the sensitivity of the option value to changes in volatility. Delta measures the change in option value in response to a change in the price of the underlying asset, Theta measures the time decay of an option, and Gamma measures the rate of change of the option's delta in response to changes in the price of the underlying asset.

Which of the "Greeks" Measures the Change in Option Value