Underlying volatility of option

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Question

A. Consider European two call options on a non-dividend paying stock, option A and option B. The options are identical, except option A has 3 months until expiration while option B has 2 months until expiration. Can you determine which option is worth more? explain

B. Consider two put options, option B. The options are identical except that option A is an American option while option B is a European option. Can you determine which option is worth more? explain.

C. Consider two American put options, option A and option B. The call options are identical except the underlying volatility of option B. Can you determine which option is worth more? explain.

Reference no: EM131765014

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