In the Black-Scholes Option Pricing Model, an Increase in a Stock's

question 9

Multiple Choice

In the Black-Scholes option pricing model, an increase in a stock's volatility (all else being constant)

• A) increases the associated call option value
• B) decreases the associated call option value
• C) may decrease or increase the option value, depending on the level of interest rates
• D) does not change either the put or call option value because put-call parity holds

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