A Call Option in the Black-Scholes Model Is a Function $C ( S , t )$

question 9

Multiple Choice

A call option in the Black-Scholes model is a function of the stock price and time,i.e. , $C ( S , t )$ .Which of the following statements is valid with regards to the change in the option price over time,i.e. , $d C ( S , t )$ ?

• A)The expected change \(E ( d C )\)
• Is not a function of stock volatility-taking expectations eliminates the Wiener process term.
• B)The expected change over time is not a function of the remaining maturity of the option,only of the amount of time over which the change is examined.
• C)The expected change in the call price is not a function of the risk-free interest rate but only the growth rate of the stock at the specific point in time.
• D)None of the above.

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