NO.PZ2023040601000037
问题如下：
Lee then explains how the risk exposures of option positions may increase or decrease overall portfolio risk. Lee and Woolridge discuss delta, gamma, and vega as option sensitivity measures. Woolridge summarizes what she has learned to make sure she has understood correctly: “Delta measures the sensitivity of an option to the price of the underlying security and ranges from –0.5 to +0.5. Gamma is a second-order effect that measures the sensitivity of delta to price changes in the underlying. Vega is a first-effect that measures the change in the volatility of an option to the change in price of the underlying.”
Which option sensitivity measure does Woolridge most accurately describe?
选项：
A.Vega
Delta
Gamma
解释：
Gamma is a second-order effect which measures the sensitivity of delta to price changes in the underlying.
Vega is a first-effect that measures the change in the volatility of an option to the change in price of the underlying.”
