In the Black-Scholes Option Pricing Model, if interest rates rise, the price of a call option will a. decline. b. remain unchanged c. increase. d. decline, then increase. For at-the-money stock options, put/call parity requires that, for otherwise similar options, a. puts sell for more than calls. b. puts sell for the same price as calls. c. puts sell for less than calls. d. puts sell for at least as much as calls. Delta is the a. theoretical value of an option. b. expected change in the option price as the underlying stock price changes. c. intrinsic value of the option. d. influence of dividends on the option value What is the reason for executing a gamma hedge? a. the volatility can change b. the stock price can make a large move c. the stock price moves are too small for a delta hedge to work d. there is no true risk-free rate e. none of the above