Question 7 Delta is only an approximation to the change in the option price in response to a small change in the underlying asset price because: a) As the underlying asset price changes, other factors affecting the option price (such as time to maturity, risk-free rate and volatility if underlying asset) may also change b) Delta assumes that the relation between underlying asset price and option price is linear while in actuality it is non-linear c) Both a) and b) are true d) Delta can only take values between - 1 and 1 e) Delta changes whenever the underlying asset price changes