请问Gamma什么意思？

问题如下：

Which of the following is the correct answer to Solomon’s question regarding the option Greek letter?

选项：

Vega

Theta

Gamma

解释：

B is correct.

Lee is pointing out the option price’s sensitivity to small changes in time. In the BSM approach, option price sensitivity to changes in time is given by the option Greek theta.

中文解析：

本题考察的是希腊字母。表示期权价值与到期时间之间关系的希腊字母是theta。选B。