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Up6
Which of the following “Greeks” measures the amount that an option contract’s price changes in reaction to a change in the implied volatility of the underlying asset?
- A. Rho
- B. Vega
- C. Gamma
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Up1
The correct answer is B.
Derivatives risk measures are also referred to as “Greeks.” Vega measures the sensitivity of derivatives value to the volatility of prices of underlying assets.
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