alleryStart learning →Which Greek measures sensitivity of option value to volatility?
ADelta
BRho
CVega
DTheta
Answer & Solution
Correct answer: C. Vega
Vega is the derivative of the option value with respect to the volatility of the underlying.
Keep practising Option (Finance)
Browse all Option (Finance) questions for CA Final, or explore more Strategicfinancialmanagement topics.
Related questions
When is charm especially useful for a delta-hedger?Which Greek is most important for an at-the-money straddle?Speed measures the change in gamma with respect to what?Which Greek is also known as vega convexity?Which Greek is called delta decay?Gamma is classed as which kind of Greek?Which Greek measures sensitivity to the interest rate?Which Greek measures the time decay of an option?