- CFA Exams
- CFA Level I Exam
- Topic 7. Derivatives
- Learning Module 34. Valuation of Contingent Claims
- Subject 4. Black-Scholes-Merton Option Valuation Model

###
**CFA Practice Question**

As the carry benefits rise, it becomes ______ likely that the call option will expire out of the money.

B. less

C. The likelihood will remain the same

A. more

B. less

C. The likelihood will remain the same

Correct Answer: A

N(d

_{2}) is the probability that a call option will expire in the money. The higher the carry benefits, the lower the value of N(d_{2}); the call option becomes more likely to be out of the money.###
**User Contributed Comments**
0

You need to log in first to add your comment.