Which of the Following Statements Is NOT True About Currency

question 24

Multiple Choice

Which of the following statements is NOT true about currency option pricing sensitivities?

• A) The higher the delta, the more likely the option will move in-the-money.
• B) Premiums rise with increases in volatility.
• C) Premiums are relatively insensitive during the first days.
• D) Increases in domestic interest rates cause decreasing call option premiums.