- CFA Exams
- CFA Level I Exam
- Study Session 14. Derivatives
- Reading 38. Valuation of Contingent Claims
- Subject 6. Option Greeks and Implied Volatility
CFA Practice Question
Of the five variables in the BSM, an option's value is most sensitive to ______ changes.
B. time to maturity
C. volatility
A. underlying price
B. time to maturity
C. volatility
Correct Answer: C
Option values are generally quite sensitive to volatility.
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