medium · Quantitative Finance derivatives

For a European call option, why is Gamma always non-negative under the Black-Scholes model?

1. Because Theta, the time-decay term, is always negative for long option positions.
2. Because Delta is always confined to the fixed range between zero and one.
3. Because the call option price is a convex function of the underlying stock price.
4. Because the underlying stock price is a non-negative diffusion process that never goes negative.

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