Click on the Exhibit Button to view the Formula Sheet. The theta of an option is:
A. The sensitivity of the option value to changes in the price of the underlying
B. The sensitivity of the option value to changes in volatility
C. The sensitivity of the option value to changes in interest rates
D. The sensitivity of the option value to changes in the time to expiry
Answer:D
Click on the Exhibit Button to view the Formula Sheet. The theta of an option is:
A. The sensitivity of the option value to changes in the price of the underlying B. The sensitivity of the option value to changes in volatility C. The sensitivity of the option value to changes in interest rates D. The sensitivity of the option value to changes in the time to expiry