Question
In the use of the Black-Scholes option valuation model todetermine the value of a European call option, which one of thefollowing relationships is NOT correct?
In the use of the Black-Scholes option valuation model todetermine the value of a European call option, which one of thefollowing relationships is NOT correct?
A. An increase in the risk-free rate increases the value of theEuropean call option.
B. An increase in the exercise price of the European call optionincreases the value of the option.
C. An increase in the price of the underlying stock increasesthe value of the European call option.
D. An increase in the risk associated with the underlying stockincreases the value of the European call option.
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Financial Theory and Corporate Policy
Authors: Thomas E. Copeland, J. Fred Weston, Kuldeep Shastri
4th edition
321127218, 978-0321179548, 321179544, 978-0321127211
