Question
For a European call option written on a non-dividend paying stock, assuming all else being equal, if the volatility of the underlying asset increases, a.
For a European call option written on a non-dividend paying stock, assuming all else being equal, if the volatility of the underlying asset increases,
a. the intrinsic value of the option will increase.
b. the time value of the option will increase.
c. the time value of the option will stay unchanged, but the intrinsic value of the option will decline.
d. the price of the option will stay unchanged.
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Handbook Of Corporate Equity Derivatives And Equity Capital Markets
Authors: Juan Ramirez
1st Edition
1119975905, 978-1119975908
