Consider a Black-Scholes Setting

question 24

Multiple Choice

Consider a Black-Scholes setting. When a call option is deep in-the-money, an increase in volatility results in, ceteris paribus,

• A) A decrease in the delta of the option.
• B) A decrease in the insurance value of the option.
• C) An increase in the intrinsic value of the option.
• D) An increase in the time value of the option.

---

Definitions:

High-Income Countries

Nations with a gross national income per capita significantly higher than the global average, often characterized by advanced economic development and infrastructure.

Mental Disorders

Health conditions characterized by alterations in thinking, mood, or behavior associated with distress and impaired functioning.

Social Values

Norms and ideals that a society considers important and therefore strives to instill in its members.

Political Considerations

Involves factors or aspects related to governance, political ideologies, policies, and the distribution of power within a society.