The Gamma of an Option Is

question 64

Multiple Choice

The gamma of an option is

• A) the volatility level for the stock that the option price implies.
• B) the continued updating of the hedge ratio as time passes.
• C) the percentage change in the stock call-option price divided by the percentage change in the stock price.
• D) the sensitivity of the delta to the stock price.

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Definitions:

Cesare Becarria

was an 18th-century Italian criminologist, jurist, and philosopher who is best known for his treatise "On Crimes and Punishments," advocating for criminal justice reforms.

Jeremy Bentham

An English philosopher and legal theorist known for founding the philosophy of utilitarianism, emphasizing the greatest happiness principle.

John Locke

A 17th-century British philosopher known for his works on liberalism, political theory, and his ideas about natural rights and government.

Unpleasantness

The quality of being disagreeable or difficult to endure, often used to describe undesirable experiences or sensations.