Theta in the Black- Scholes Formula Measures

question 60

Multiple Choice

Theta in the Black- Scholes formula measures:

• A) the change in the option value caused by a change in the volatility of the security price.
• B) the effect of time to expiry on the option premium.
• C) the impact of the interest rate on the option premium.
• D) the effect of the security return on the value of the option.

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Definitions:

Unauthorized Charges

Expenses made to a credit card, bank account, or other financial account without the account holder’s approval or knowledge.

Credit Card

A payment card issued by financial institutions allowing the cardholder to borrow funds for purchases or cash advances.

Strict Product Liability

A legal doctrine that makes a manufacturer, distributor, or seller of a defective product liable for the damages caused by that product, regardless of fault.

Defective Condition

A condition that makes a product unreasonably dangerous to the consumer, user, or property. See product liability.