In the Black-Scholes Option Pricing Model, an Increase in Security $\sigma$

question 47

Multiple Choice

In the Black-Scholes option pricing model, an increase in security volatility ( $\sigma$ ) will cause

• A) an increase in call value and an increase in put value.
• B) an increase in call value and a decrease in put value.
• C) a decrease in call value and an increase in put value.
• D) a decrease in call value and a decrease in put value.
• E) an increase in call value and an increase or decrease in put value.

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Definitions:

Masculinization

The process resulting in the development of male physical and physiological traits, driven by hormones like testosterone.

Hormones

Chemical substances produced in the body that control and regulate the activity of certain cells or organs.

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Specific regions within the brain that have distinct functions or roles in processing information and controlling behaviors.

Autism Spectrum Disorder

A range of neurodevelopmental conditions characterized by challenges with social interaction, communication, and behavior.