Which of the Greeks estimates the sensitivity of option value to the volatility of the underlying asset?

Delta Gamma Vega Rho Theta

3.2 In the Black-Scholes option pricing model, N(d1) is the probability that a standard normal random variable takes on a value exceeding d1. (True / False)

3.3 In the Black-Scholes option pricing model, the following is NOT a risk factor, because it doesnt change over time:

Price of the underlying Strike price of the option Interest rate Volatility of the underlying

3.4 In the Black-Scholes option-pricing model, if volatility increases, the value of a call option will increase but the value of the put option will decrease. (True / False)

3.5 In the Black-Scholes option pricing model, value of an option decreases, all else equal, as it nears expiration. (True / False)

3.6 The Black-Scholes option pricing model assumes which of the following?

Jumps in the underlying price Constant volatility of the underlying Possibility of negative underlying price Interest rate increasing as option nears expiration

Which Greek shows how sensitive option delta is to the price of the underlying asset?

Vega Gamma Elasticity Implied Volatility

Volatility smile is obtained by estimating stock volatility from several options, which are:

Written on different stocks but have the same strike price Written on the same stock but have different times to expiration Written on the same stock and have the same time to expiration, but have different strike prices

Which Greek has a non-zero value for a linear derivative (e.g., futures)?

Gamma Delta Vega

To both gamma-hedge and vega-hedge your portfolio, you need

No options One option Two options