Which of the Following Statements Is True

Multiple Choice

Which of the following statements is true?

A) In general, the relationship between the value of an option and the underlying value of a security is non-linear.
B) For an out-of-the money call option the price of the underlying security is less than the option's exercise price.
C) Using the delta method to derive the market value of an option is at best an approximation and to deal with the non-linearity of option payoffs, some analysts consider an option's gamma too.
D) All of the listed options are correct.