A Call Option in the Black-Scholes Model Is a Function $C ( S , t )$

question 13

Multiple Choice

A call option in the Black-Scholes model is a function of the stock price and time, i.e., $C ( S , t )$ . Which of the following statements is valid with regards to the change in the option price over time, i.e., $d C ( S , t )$ ?

• A) The expected change \(E ( d C )\) is not a function of stock volatility-taking expectations eliminates the Wiener process term.
• B) The expected change over time is not a function of the remaining maturity of the option, only of the amount of time over which the change is examined.
• C) The expected change in the call price is not a function of the risk-free interest rate but only the growth rate of the stock at the specific point in time.
• D) None of the above.

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