A decrease in the Variance of return of the underlying asset will increase the value of a put option.

Name: A decrease in the Variance of return of the underlying asset will increase the value of a put option.
Brand: Quizplus
Rating: 4.7 (37 reviews)

Question

Quizplus · Accepted Answer

A decrease in the variance (or volatility) of the underlying asset generally leads to a decrease in the value of a put option, as lower volatility means less chance of the option ending in the money (below the strike price).

A Decrease in the Variance of Return of the Underlying