高顿FRM题库——全球财经*9题库（精题真题、全真模考系统、名师答疑）>>>点击进入“每日一练——免费在线测试”
　　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：选 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)
        FRM考试在线高清视频指导