The vega of an option is:

Question

Options

• AThe sensitivity of the option value to changes in interest rates
• BThe sensitivity of the option value to changes in implied volatility
• CThe sensitivity of the option value to changes in the time to expiry
• DThe sensitivity of the option value to changes in the price of the underlying

• A
  4% (2)
• B
  80% (41)
• C
  12% (6)
• D
  4% (2)

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