Which of the following statements is FALSE?
A)Put-call parity gives the price of a European call option in terms of the price of a European put, the underlying share, and a zero-coupon bond.
B)Because a put is the right to sell the share, puts with a lower exercise price are less valuable.
C)For a given exercise price, the value of a call option is higher if the current share price is higher, as there is a greater likelihood the option will end up in-the-money.
D)The value of an otherwise identical call option is higher if the exercise price the holder must pay to buy the share is higher.

Question

Quizplus · Accepted Answer

The value of a call option decreases as the exercise price increases because it becomes less likely that the option will end up in-the-money, making it less valuable.

Which of the Following Statements Is FALSE