When a share price increases by a certain percentage, the price of a call option on the same share increases by a lower percentage amount.

Question

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The price of a call option can increase by a higher percentage than the underlying share price due to leverage effect, as options provide leverage and their value is highly sensitive to changes in the price of the underlying asset, a phenomenon described by the Delta and Gamma in options pricing models.

When a Share Price Increases by a Certain Percentage, the Price