Consider a Black-Scholes setting. When a call option is deep in-the-money, an increase in volatility results in, ceteris paribus,
A) A decrease in the delta of the option.
B) A decrease in the insurance value of the option.
C) An increase in the intrinsic value of the option.
D) An increase in the time value of the option.

Question

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The Answer of Consider a Black-Scholes setting. When a call option is deep in-the-money, an increase in volatility results in, ceteris paribus,
A) A decrease in the delta of the option.
B) A decrease in the insurance value of the option.
C) An increase in the intrinsic value of the option.
D) An increase in the time value of the option.

Consider a Black-Scholes Setting