Call option values DECREASE with ______.
A) an increase in the underlying asset value
B) an increase in the volatility of the underlying asset value
C) an increase in the systematic risk (beta) of the asset underlying the option
D) More than one of the above
E) None of the above

Question

Quizplus · Accepted Answer

Call option values typically increase with an increase in the underlying asset value and the volatility of the underlying asset. Systematic risk (beta) of the asset does not directly affect the value of a call option in the same way, as option pricing models primarily focus on volatility and other factors like the strike price and time to expiration.

Call Option Values DECREASE with ______