Which of the Following Statements Is True? Consider Options Written

question 10

Multiple Choice

Which of the following statements is true? Consider options written on a non-dividend-paying stock.

• A) All European and American options have positive gamma.
• B) European options and American calls have positive gamma, but American puts may have negative gamma.
• C) European options have positive gamma, but American options may have positive or negative gamma.
• D) Gamma may be positive or negative for both American and European options.

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