The Gamma of an Option Is

question 27

Multiple Choice

The gamma of an option is

• A) The dollar change in the option delta for a $1 change in the price of the underlying.
• B) The percentage change in option delta for a 1% change in the price of the underlying.
• C) The dollar change in the option price for a sudden unit jump change in the price of the underlying.
• D) The percentage change in the option price for a sudden unit jump change in the price of the underlying.

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