Which statement about vega is true?

A. Vega is a third-order effect of a change in option prices for the underlying.
B. Vega is applicable to options as well as portfolios that contain options.
C. Vega is analogous to the convexity of a fixed-income security.

Correct Answer: B

A is false. Vega measures the effect of underlying volatility. C is false. Gamma is a second-order effect analogous to the convexity of a fixed-income security.