- 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
If the gamma of a call is 0.2, the gamma of a put with the same exercise price and time to maturity can be calculated as ______.
A. -0.2
B. 0.8
C. 0.2
Explanation: According to put-call parity, the gamma of a call must equal the gamma of a put.
User Contributed Comments 0
You need to log in first to add your comment.