Consider a Black-Scholes Setting

question 25

Multiple Choice

Consider a Black-Scholes setting. When a call option is deep in-the-money, a decrease in interest rates 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) A decrease in the time value of the option.

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Definitions:

Anger

A strong feeling of annoyance, displeasure, or hostility; an emotional response to perceived provocation or threat.

Surprise

An emotional state or reaction caused by an unexpected event, which can vary in intensity from mild interest to shock.

Happiness

An emotional state ranging from simple satisfaction to deep happiness, defining a sense of completeness and pleasure.

Emotional Illiteracy

The inability to recognize, understand, and appropriately express one's emotions.