Which of the Following Statements Is False

Multiple Choice

Which of the following statements is false?

A) The change in value of a portfolio of puts and calls on the same stock is approximated by the sum of the product of each option's delta with the change in the stock price.
B) The change in value of a portfolio of puts and calls on the same stock is approximated by the product of the sum of each option's delta with the change in the stock price.
C) The change in value of a portfolio of puts and calls on the same stock is approximated by the sum of the product of each option's delta with the change in the stock price plus the sum of the cross-correlated changes of each option with the other options for the same change in the stock price.
D) The change in value of a portfolio of puts and calls on the same stock is approximated by the sum of the product of each option's delta with the change in the stock price plus half the sum of the product of option gammas with squared changes in the stock price.