An increase in the variance of the return on the underlying asset will increase the value of a call option.

Name: An increase in the variance of the return on the underlying asset will increase the value of a call option.
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An increase in the variance (or volatility) of the return on the underlying asset increases the potential for the asset's price to move favorably for a call option holder, thus increasing the option's value due to higher potential for profit.

An Increase in the Variance of the Return on the Underlying