For a $150/£ Call Option with an Initial Premium of $0

question 19

Multiple Choice

For a $1.50/£ call option with an initial premium of $0.033/£ and a lambda of 0.4, after an increase in annual volatility of 1 percent point - for example from 10% to 11% - the new option premium would be:

• A) $0.036/£.
• B) $0.037/£.
• C) $0.004/£.
• D) $1.54/£.

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