2.1 Which of the Greeks measures the sensitivity of option price to the remaining time to expiration?

a. Elasticity

b. Gamma

c. Vega

d. Theta

2.2 To hedge a portfolio on either gamma or vega, a trader needs a linear contract. (True / False)

2.3 An option is called non-linear because:

a. Delta is constant

b. Gamma is non-zero

c. Delta is positive

d. Delta is negative