Question

All else constant, which one of the following situations will produce the highest call price given a strike price of $27.50?
A. $25 stock price; 15 percent standard deviation
B. $25 stock price; 30 percent standard deviation
C. $30 stock price; 15 percent standard deviation
D. $30 stock price; 30 percent standard deviation
E. Insufficient information is provided to answer this question.

Answer

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