GARP Financial Risk and Regulation (FRR) Series 2016-FRR Question # 75 Topic 8 Discussion

GARP Financial Risk and Regulation (FRR) Series 2016-FRR Question # 75 Topic 8 Discussion

2016-FRR Exam Topic 8 Question 75 Discussion:
Question #: 75
Topic #: 8

Which one of the following four statements correctly defines an option's delta?


A.

Delta measures the expected decline in option with time and is usually expressed in years.


B.

Delta measures the effect of 1 bp in interest rate change on the option price.


C.

Delta is the multiplier that best approximates the short-term change in the value of an option.


D.

Delta measures the impact of volatility on the price of an option.


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