Vega Is Defined as

Multiple Choice

Vega is defined as

A) the change in the value of an option for a dollar change in the price of the underlying asset.
B) the change in the value of the underlying asset for a dollar change in the call price.
C) the percentage change in the value of an option for a 1% change in the value of the underlying asset.
D) the change in the volatility of the underlying stock price.
E) the sensitivity of an option's price to changes in volatility.