Question

1. In the Black-Scholes option pricing model, N(d1) is the probability that a standard normal random variable takes on a value exceeding d1.

A. True
B. False
2. In the Black-Scholes option-pricing model, if volatility increases, the value of a call option will increase but the value of the put option will decrease.
A. True
B. False

Answer 1

1. Is False 2. Is True