According to option pricing theory, a higher volatility would cause the put option premium to
A) increase
B) decrease
C) remain the same
D) any of the above can occur

Question

Quizplus · Accepted Answer

Higher volatility increases the uncertainty of the underlying asset's price, which increases the value of both call and put options, leading to a higher put option premium.

According to Option Pricing Theory, a Higher Volatility Would Cause