Question

Which one of the following situations will produce the highest put price, all else constant? Assume the options are all in-the-money.
A. $30 stock price; 20 percent standard deviation
B. $30 stock price; 25 percent standard deviation
C. $35 stock price; 20 percent standard deviation
D. $35 stock price; 25 percent standard deviation
E. Insufficient information is provided to answer this question.

Answer

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