A Cash-Or-Nothing Binary Call Option Increases in Value When the Price

question 33

Multiple Choice

A cash-or-nothing binary call option increases in value when the price of the underlying increases. The delta of such an option

• A) Is positive and increases in value as the price of the underlying increases.
• B) can be positive or negative, but increases in value as the price of the underlying increases.
• C) is positive but can increase or decrease in value as the price of the underlying increases.
• D) is equal to the risk-neutral probability of the option finishing in-the-money.

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