If the price of an underlying asset has a standard deviation of zero:
A)Options for this asset would likely not exist.
B)Option for this asset would be highly valued.
C)The intrinsic value of options for this asset would equal the asset's price.
D)Options for this asset would have a time value of the option equal to the price of the asset.

Question

Quizplus · Accepted Answer

If the standard deviation of an asset's price is zero, it means the price does not change. Therefore, there would be no need for options, as options are used to hedge against or speculate on price changes.

If the Price of an Underlying Asset Has a Standard