In the Black-Scholes option valuation formula, an increase in a stocks volatility: a. Increases the associated call

Question:

In the Black-Scholes option valuation formula, an increase in a stock’s volatility:

a. Increases the associated call option value.

b. Decreases the associated put option value.

c. Increases or decreases the option value, depending on the level of interest rates.

d. Does not change either the put or call option value because put-call parity holds.

Fantastic news! We've Found the answer you've been seeking!

Step by Step Answer:

Related Book For  book-img-for-question

Fundamentals Of Investments Valuation And Management

ISBN: 9781266824012

10th Edition

Authors: Bradford Jordan, Thomas Miller, Steve Dolvin

Question Posted: