LOS n: Indicate the directional effect of an interest rate change or volatility change on an option's price.
Greater volatility in the price of the underlying asset will have what effect on the value of a call option and the value of a put option?
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Value of a call option |
Value of a put option |
Greater volatility in the price of the underlying asset increases the values of both puts and calls because options are “one-sided.” Since an option’s value can fall no lower than zero (it expires out of the money), increased volatility increases an option’s upside potential but does not increase its downside exposure.
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发表于 2010-4-26 14:37
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