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Which of the following statements regarding option"Greeks" is(are) correct?
I. Vega measures the sensitivity of optionprices to changes in volatility.
II. Forward instruments cannot be used tocreate gamma-neutral positions.
III. Rho is a much more important riskfactor for equities than for fixed-income derivatives.
IV. Theta represents the expected change indelta For a change in the value of the underlying.
a. I and III only.
b. I and II only.
c. IV only.
d. I, II, and IV.
答案解析：選 B
Gamma represents the expected change indelta for a change in the value of the underlying. Large changes in rates haveonly small effects on equity option prices, so rho is a more important riskfactor for fixed-income derivatives. (See Book 2, Topic 42)
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