The rate of change of the option value with respect to changes in volatility of the underlying instrument.
B.
The sensitivity of the option value to changes risk free interest rate.
C.
The rate of change of the option value with respect to changes in the price of the underlying instrument.
D.
The sensitivity of the option value to the passage of time.
The Answer Is:
C
This question includes an explanation.
Explanation:
Option delta (Δ) is a measure used in finance to indicate the sensitivity of an option's price to the price of the underlying asset. Specifically, it represents the rate of change of the option's value with respect to changes in the price of the underlying instrument. It is a fundamental concept in options trading and risk management.
[References:, Standard definition from options theory., , ]
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