If E Is the Base of Natural Logarithms; (σ)Is the Standard

Multiple Choice

If e is the base of natural logarithms; (σ) is the standard deviation of the continuously compounded annual returns on the asset; and h is the time to expiration, expressed as a fraction of a year, then the quantity (1 + upside change) is equal to

A) e^[(σ) × SQRT(h) ].
B) e^[h × SQRT(σ) ].
C) (σ) × e^[SQRT(h) ].
D) 1/(σ) × e^[SQRT(h) ].