Question

match

Delta
-       A.       B.       C.       D.	Gamma
-       A.       B.       C.       D.	Vega
-       A.       B.       C.       D.	Implied Volatility

A.	Sensitivity of an options price to a change in the price of the underlying.
B.	Sensitivity of an options price to a change in expected volatility for the underlying .
C.	Obtained from backing it out of the observed market price for options.
D.	The additional change in a convertible bonds value for a larger change in the price of the underlying stock (rate of change of the rate of change) .

Answer 1

A. Delta- sensitivity of an option price to a change in price of the underlying is known as delta.

B.Vega- sensitivity of an option price change in expected volatility for the underlying is known as Vega.

C . Implied Volatility- implied volatility is obtained from backing it out of the observed market price for options.

D.Gamma- additional change in a convertible bond value for a larger change in the price of underlying stock. It is the degree of change in delta.