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Explain why both put and call options are worth more if the stock return standard deviation is...

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Finance

Explain why both put and call options are worth moreif the stock return standard deviation
is higher but put and call options are affected oppositely by thestock price.

please refer the text book FINANCIAL MANAGEMENT(theory and practice) 16E by BRIGHAM and EHRHARDT

Answer & Explanation Solved by verified expert
4.0 Ratings (737 Votes)
Value of both put and call options increase with the increase involatilityPlease see the image for Black Scholes model equations foroption valuationWhen standard deviation    See Answer
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Transcribed Image Text

Explain why both put and call options are worth moreif the stock return standard deviationis higher but put and call options are affected oppositely by thestock price.please refer the text book FINANCIAL MANAGEMENT(theory and practice) 16E by BRIGHAM and EHRHARDT

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