According to the Black/Scholes option valuation
Model, the value of a call option increases if
A) the option approaches expiration
B) the return on the stock is more certain
C) interest rates on a discounted bond decline
D) the standard deviation of the stock's return increases

Question

Quizplus · Accepted Answer

The Black-Scholes model shows that the value of a call option increases with higher volatility, represented by the standard deviation of the stock's return, as it increases the potential for the stock price to exceed the strike price.

According to the Black/Scholes Option Valuation