Derivatives Q111
| 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.
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