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For a European Call option, match items from each of the three following categories: Greek Letters Measure the sensitivity of option prices to Sign Delta()
For a European Call option, match items from each of the three following categories:
Greek Letters | Measure the sensitivity of option prices to | Sign |
Delta() | Volatility | |
Theta() | Time changes | Positive |
Vega(v) | Interest rate changes | Negative |
Rho() | Percentage changes in the market | Not sure |
Beta() | Changes in the underlying price |
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