According to the Black-Scholes Option Pricing Model Which of the Following

question 27

Multiple Choice

According to the Black-Scholes option pricing model which of the following has the effect of decreasing the value of a call option?

• A) an increase in the stock price
• B) a higher strike price
• C) an increase in the standard deviation of the underlying asset price returns
• D) an increase in the risk-rate

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