As the underlying stock's price increased, the call option valuation function's slope approaches
A) zero.
B) one.
C) two times the value of the stock.
D) one-half the value of the stock.
E) infinity.

Question

Quizplus · Accepted Answer

As the underlying stock's price increases significantly, the delta of a call option (which measures the rate of change of the option's price with respect to the stock's price) approaches one. This means the option's price will move almost one-for-one with the stock's price.

As the Underlying Stock's Price Increased, the Call Option Valuation