WHICH OF THE FOLLOWING IS CORRECT ABOUT SENSITIVITIES

19. Which of the following is correct about sensitivities?

A. Option delta is a measure of an option’s sensitivity to changes in the price of the

underlying.

B. Sensitivities can appropriately address volatilities of assets which is useful in

understanding different asset exposures.

C. Duration is useful as it gives the change in the fixed-income portfolio value by applying

historical interest rates.