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The Delta of an option is defined as: a. Expected change in the option premium for a small change in volatility b. Expected change in

The Delta of an option is defined as:

a. Expected change in the option premium for a small change in volatility

b. Expected change in the option premium for a small change in the domestic interest rate.

c. Expected change in the option premium for a small change in the spot rate.

d. Expected change in the option premium for a small change in time to expiration

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