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Which of the following expressions is incorrect? Choose one: A. The delta of an...

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Finance

Which of the following expressions is incorrect?

Choose one:

A. The delta of an option has a natural interpretation: it is the change in the price of the stock for a change of one euro in the price of the option.

B. Because a diversified position in a stock is riskier than the stock itself, which means that a call option on a stock with a positive beta is riskier than the underlying stock and therefore has a higher return and beta.

C. Only one parameter in the Black-Scholes formula, stock price volatility, is one that is not directly observed.

D. Because a stock's volatility is easier to measure than its expected return, the Black-Scholes formula can be very accurate.

E. Blank

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