In the black-scholes option pricing model an increase in a, Ask an Expert

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In the Black-Scholes option pricing model, an increase in a stock’s volatility (all else being constant)

a. increases the associated call option value.

b. decreases the associated call option value.

c. may increase or decrease the option value, depending on the level of interest rates.

d. does not change either the put or call option value because put-call parity holds.

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Financial Management, Finance

Category:- Financial Management
Reference No.:- M92431118

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