问题
单项选择题
All else being equal, a decrease in volatility of the underlying is most likely to result in a(n):（）
A. increase in call price and a decrease in put price.
B. decrease in call price and a decrease in put price.
C. increase in call price and a increase in put price.
答案
参考答案：B
解析：
所针对的标的资产波动性增加会同时增加看涨期权和看跌期权的价值，此时标的资产的价格高于看涨期权行权价或者低于看跌期权行权价的可能性都增加，而所针对的标的资产的波动性若降低，则结论正好相反。
