easy · FRM Part 1 Valuation and Risk Models
What would happen to the price of a European call option if all investors suddenly became more risk-averse, but the stock price and volatility remained the same?
- The call option price would decrease as investors flee risky assets.
- The call option price would increase to reflect the higher risk premium.
- The call option price would become equal to its intrinsic value.
- The call option price would remain exactly the same.
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