Derivatives Q111
111Assuming everything else constant, which of the following best describes changes that result in a decrease in the value of a put option?
| Risk-Free | Rate Volatility | |
| A. | increase | Decrease |
| B. | Decrease | Decrease |
| C. | Decrease | Increase |
- Option : A
- Explanation : Lower volatility on the underlying decreases the option’s value for both puts and calls. Increase in risk free rate increases the value of a call option but reduces the value of a put option.
