- CFA Exams
- CFA Level I Exam
- Topic 7. Derivatives
- Learning Module 34. Valuation of Contingent Claims
- Subject 6. Option Greeks and Implied Volatility
CFA Practice Question
Based on put-call parity, the ______ of a call is always equal to that of a similar put.
A. gamma
B. rho
C. theta
Explanation: The gammas are the same for a put and call with the same underlying instrument, time to expiration, and strike price.
User Contributed Comments 0
You need to log in first to add your comment.