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Exit VCEDump 2016-FRR Financial Risk and Regulation (FRR) Series

Q11 Single choice

Which one of the following four statements correctly defines an option's delta?

A
Delta measures the expected decline in option with time and is usually expressed in years.
B
Delta measures the effect of 1 bp in interest rate change on the option price.
C
Delta is the multiplier that best approximates the short-term change in the value of an option.
D
Delta measures the impact of volatility on the price of an option.

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